Fair Value at December 31, 2013 | |||||||||||||||||||
Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Netting Adjustment(1) | Total | |||||||||||||||
(in millions) | |||||||||||||||||||
Assets: | |||||||||||||||||||
Investments in securities: | |||||||||||||||||||
Available-for-sale, at fair value: | |||||||||||||||||||
Mortgage-related securities: | |||||||||||||||||||
Freddie Mac | $ | — | $ | 38,720 | $ | 1,939 | $ | — | $ | 40,659 | |||||||||
Fannie Mae | — | 10,666 | 131 | — | 10,797 | ||||||||||||||
Ginnie Mae | — | 155 | 12 | — | 167 | ||||||||||||||
CMBS | — | 27,229 | 3,109 | — | 30,338 | ||||||||||||||
Subprime | — | — | 27,499 | — | 27,499 | ||||||||||||||
Option ARM | — | — | 6,574 | — | 6,574 | ||||||||||||||
Alt-A and other | — | — | 8,706 | — | 8,706 | ||||||||||||||
Obligations of states and political subdivisions | — | — | 3,495 | — | 3,495 | ||||||||||||||
Manufactured housing | — | — | 684 | — | 684 | ||||||||||||||
Total available-for-sale securities, at fair value | — | 76,770 | 52,149 | — | 128,919 | ||||||||||||||
Trading, at fair value: | |||||||||||||||||||
Mortgage-related securities: | |||||||||||||||||||
Freddie Mac | — | 9,006 | 343 | — | 9,349 | ||||||||||||||
Fannie Mae | — | 6,959 | 221 | — | 7,180 | ||||||||||||||
Ginnie Mae | — | 24 | 74 | — | 98 | ||||||||||||||
Other | — | 133 | 8 | — | 141 | ||||||||||||||
Total mortgage-related securities | — | 16,122 | 646 | — | 16,768 | ||||||||||||||
Non-mortgage-related securities: | |||||||||||||||||||
Treasury bills | 2,254 | — | — | — | 2,254 | ||||||||||||||
Treasury notes | 4,382 | — | — | — | 4,382 | ||||||||||||||
Total non-mortgage-related securities | 6,636 | — | — | — | 6,636 | ||||||||||||||
Total trading securities, at fair value | 6,636 | 16,122 | 646 | — | 23,404 | ||||||||||||||
Total investments in securities | 6,636 | 92,892 | 52,795 | — | 152,323 | ||||||||||||||
Mortgage loans: | |||||||||||||||||||
Held-for-sale, at fair value | — | 8,727 | — | — | 8,727 | ||||||||||||||
Derivative assets, net: | |||||||||||||||||||
Interest-rate swaps | — | 10,009 | 10 | — | 10,019 | ||||||||||||||
Option-based derivatives | — | 4,112 | — | — | 4,112 | ||||||||||||||
Other | — | 99 | 1 | — | 100 | ||||||||||||||
Subtotal, before netting adjustments | — | 14,220 | 11 | — | 14,231 | ||||||||||||||
Netting adjustments(1) | — | — | — | (13,168 | ) | (13,168 | ) | ||||||||||||
Total derivative assets, net | — | 14,220 | 11 | (13,168 | ) | 1,063 | |||||||||||||
Other assets: | |||||||||||||||||||
Guarantee asset, at fair value | — | — | 1,611 | — | 1,611 | ||||||||||||||
All other, at fair value | — | — | 9 | — | 9 | ||||||||||||||
Total other assets | — | — | 1,620 | — | 1,620 | ||||||||||||||
Total assets carried at fair value on a recurring basis | $ | 6,636 | $ | 115,839 | $ | 54,426 | $ | (13,168 | ) | $ | 163,733 | ||||||||
Liabilities: | |||||||||||||||||||
Debt securities of consolidated trusts held by third parties, at fair value | $ | — | $ | 59 | $ | — | $ | — | $ | 59 | |||||||||
Other debt, at fair value | — | 1,155 | 1,528 | — | 2,683 | ||||||||||||||
Derivative liabilities, net: | |||||||||||||||||||
Interest-rate swaps | — | 13,022 | 295 | — | 13,317 | ||||||||||||||
Option-based derivatives | — | 201 | 3 | — | 204 | ||||||||||||||
Other | — | 68 | 38 | — | 106 | ||||||||||||||
Subtotal, before netting adjustments | — | 13,291 | 336 | — | 13,627 | ||||||||||||||
Netting adjustments(1) | — | — | — | (13,447 | ) | (13,447 | ) | ||||||||||||
Total derivative liabilities, net | — | 13,291 | 336 | (13,447 | ) | 180 | |||||||||||||
Total liabilities carried at fair value on a recurring basis | $ | — | $ | 14,505 | $ | 1,864 | $ | (13,447 | ) | $ | 2,922 |
Fair Value at December 31, 2012 | |||||||||||||||||||
Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Netting Adjustment(1) | Total | |||||||||||||||
(in millions) | |||||||||||||||||||
Assets: | |||||||||||||||||||
Investments in securities: | |||||||||||||||||||
Available-for-sale, at fair value: | |||||||||||||||||||
Mortgage-related securities: | |||||||||||||||||||
Freddie Mac | $ | — | $ | 56,713 | $ | 1,802 | $ | — | $ | 58,515 | |||||||||
Fannie Mae | — | 15,117 | 163 | — | 15,280 | ||||||||||||||
Ginnie Mae | — | 193 | 16 | — | 209 | ||||||||||||||
CMBS | — | 47,878 | 3,429 | — | 51,307 | ||||||||||||||
Subprime | — | — | 26,457 | — | 26,457 | ||||||||||||||
Option ARM | — | — | 5,717 | — | 5,717 | ||||||||||||||
Alt-A and other | — | — | 10,904 | — | 10,904 | ||||||||||||||
Obligations of states and political subdivisions | — | — | 5,798 | — | 5,798 | ||||||||||||||
Manufactured housing | — | — | 709 | — | 709 | ||||||||||||||
Total available-for-sale securities, at fair value | — | 119,901 | 54,995 | — | 174,896 | ||||||||||||||
Trading, at fair value: | |||||||||||||||||||
Mortgage-related securities: | |||||||||||||||||||
Freddie Mac | — | 9,189 | 1,165 | — | 10,354 | ||||||||||||||
Fannie Mae | — | 10,026 | 312 | — | 10,338 | ||||||||||||||
Ginnie Mae | — | 39 | 92 | — | 131 | ||||||||||||||
Other | — | 135 | 21 | — | 156 | ||||||||||||||
Total mortgage-related securities | — | 19,389 | 1,590 | — | 20,979 | ||||||||||||||
Non-mortgage-related securities: | |||||||||||||||||||
Asset-backed securities | — | 292 | — | — | 292 | ||||||||||||||
Treasury bills | 1,160 | — | — | — | 1,160 | ||||||||||||||
Treasury notes | 19,061 | — | — | — | 19,061 | ||||||||||||||
Total non-mortgage-related securities | 20,221 | 292 | — | — | 20,513 | ||||||||||||||
Total trading securities, at fair value | 20,221 | 19,681 | 1,590 | — | 41,492 | ||||||||||||||
Total investments in securities | 20,221 | 139,582 | 56,585 | — | 216,388 | ||||||||||||||
Mortgage loans: | |||||||||||||||||||
Held-for-sale, at fair value | — | — | 14,238 | — | 14,238 | ||||||||||||||
Derivative assets, net: | |||||||||||||||||||
Interest-rate swaps | 27 | 13,920 | 18 | — | 13,965 | ||||||||||||||
Option-based derivatives | — | 10,097 | — | — | 10,097 | ||||||||||||||
Other | 37 | 92 | 2 | — | 131 | ||||||||||||||
Subtotal, before netting adjustments | 64 | 24,109 | 20 | — | 24,193 | ||||||||||||||
Netting adjustments(1) | — | — | — | (23,536 | ) | (23,536 | ) | ||||||||||||
Total derivative assets, net | 64 | 24,109 | 20 | (23,536 | ) | 657 | |||||||||||||
Other assets: | |||||||||||||||||||
Guarantee asset, at fair value | — | — | 1,029 | — | 1,029 | ||||||||||||||
All other, at fair value | — | — | 114 | — | 114 | ||||||||||||||
Total other assets | — | — | 1,143 | — | 1,143 | ||||||||||||||
Total assets carried at fair value on a recurring basis | $ | 20,285 | $ | 163,691 | $ | 71,986 | $ | (23,536 | ) | $ | 232,426 | ||||||||
Liabilities: | |||||||||||||||||||
Debt securities of consolidated trusts held by third parties, at fair value | $ | — | $ | 70 | $ | — | $ | — | $ | 70 | |||||||||
Other debt, at fair value | — | — | 2,187 | — | 2,187 | ||||||||||||||
Derivative liabilities, net: | |||||||||||||||||||
Interest-rate swaps | 5 | 30,213 | 26 | — | 30,244 | ||||||||||||||
Option-based derivatives | — | 749 | 1 | — | 750 | ||||||||||||||
Other | 3 | 52 | 40 | — | 95 | ||||||||||||||
Subtotal, before netting adjustments | 8 | 31,014 | 67 | — | 31,089 | ||||||||||||||
Netting adjustments(1) | — | — | — | (30,911 | ) | (30,911 | ) | ||||||||||||
Total derivative liabilities, net | 8 | 31,014 | 67 | (30,911 | ) | 178 | |||||||||||||
Total liabilities carried at fair value on a recurring basis | $ | 8 | $ | 31,084 | $ | 2,254 | $ | (30,911 | ) | $ | 2,435 |
(1) | Represents counterparty netting, cash collateral netting and net derivative interest receivable or payable. The net cash collateral posted was $871 million and $8.2 billion, respectively, at December 31, 2013 and 2012. The net interest receivable (payable) of derivative assets and derivative liabilities was $(0.6) billion and $(0.8) billion at December 31, 2013 and 2012, respectively, which was mainly related to interest rate swaps. |
Year Ended December 31, 2013 | |||||||||||||||||||||||||||||||||||||||||||||||
Realized and unrealized gains (losses) | |||||||||||||||||||||||||||||||||||||||||||||||
Balance, January 1, 2013 | Included in earnings(1)(2)(3)(4) | Included in other comprehensive income(1) | Total | Purchases | Issues | Sales | Settlements, net | Transfers into Level 3(5) | Transfers out of Level 3(5) | Balance, December 31, 2013 | Unrealized gains (losses) still held(6) | ||||||||||||||||||||||||||||||||||||
(in millions) | |||||||||||||||||||||||||||||||||||||||||||||||
Assets | |||||||||||||||||||||||||||||||||||||||||||||||
Investments in securities: | |||||||||||||||||||||||||||||||||||||||||||||||
Available-for-sale, at fair value: | |||||||||||||||||||||||||||||||||||||||||||||||
Mortgage-related securities: | |||||||||||||||||||||||||||||||||||||||||||||||
Freddie Mac | $ | 1,802 | $ | 2 | $ | 109 | $ | 111 | $ | 239 | $ | — | $ | (86 | ) | $ | (152 | ) | $ | 25 | $ | — | $ | 1,939 | $ | — | |||||||||||||||||||||
Fannie Mae | 163 | — | (3 | ) | (3 | ) | — | — | — | (29 | ) | — | — | 131 | — | ||||||||||||||||||||||||||||||||
Ginnie Mae | 16 | — | — | — | — | — | — | (4 | ) | — | — | 12 | — | ||||||||||||||||||||||||||||||||||
CMBS | 3,429 | 6 | (266 | ) | (260 | ) | — | — | (36 | ) | (24 | ) | — | — | 3,109 | — | |||||||||||||||||||||||||||||||
Subprime | 26,457 | (1,260 | ) | 6,648 | 5,388 | — | — | (403 | ) | (3,943 | ) | — | — | 27,499 | (1,258 | ) | |||||||||||||||||||||||||||||||
Option ARM | 5,717 | (61 | ) | 1,694 | 1,633 | — | — | (75 | ) | (701 | ) | — | — | 6,574 | (58 | ) | |||||||||||||||||||||||||||||||
Alt-A and other | 10,904 | (128 | ) | 1,341 | 1,213 | — | — | (2,001 | ) | (1,410 | ) | — | — | 8,706 | (179 | ) | |||||||||||||||||||||||||||||||
Obligations of states and political subdivisions | 5,798 | 13 | (188 | ) | (175 | ) | (10 | ) | — | (533 | ) | (1,585 | ) | — | — | 3,495 | — | ||||||||||||||||||||||||||||||
Manufactured housing | 709 | (1 | ) | 62 | 61 | — | — | — | (86 | ) | — | — | 684 | (1 | ) | ||||||||||||||||||||||||||||||||
Total available-for-sale mortgage-related securities | 54,995 | (1,429 | ) | 9,397 | 7,968 | 229 | — | (3,134 | ) | (7,934 | ) | 25 | — | 52,149 | (1,496 | ) | |||||||||||||||||||||||||||||||
Trading, at fair value: | |||||||||||||||||||||||||||||||||||||||||||||||
Mortgage-related securities: | |||||||||||||||||||||||||||||||||||||||||||||||
Freddie Mac | 1,165 | (50 | ) | — | (50 | ) | 1,271 | 269 | (1,476 | ) | (64 | ) | 1 | (773 | ) | 343 | (53 | ) | |||||||||||||||||||||||||||||
Fannie Mae | 312 | (42 | ) | — | (42 | ) | 2 | — | (2 | ) | (25 | ) | 43 | (67 | ) | 221 | (42 | ) | |||||||||||||||||||||||||||||
Ginnie Mae | 92 | (1 | ) | — | (1 | ) | 3 | — | — | (15 | ) | — | (5 | ) | 74 | (1 | ) | ||||||||||||||||||||||||||||||
Other | 21 | — | — | — | — | — | — | (3 | ) | — | (10 | ) | 8 | — | |||||||||||||||||||||||||||||||||
Total trading mortgage-related securities | 1,590 | (93 | ) | — | (93 | ) | 1,276 | 269 | (1,478 | ) | (107 | ) | 44 | (855 | ) | 646 | (96 | ) | |||||||||||||||||||||||||||||
Mortgage loans: | |||||||||||||||||||||||||||||||||||||||||||||||
Held-for-sale, at fair value | 14,238 | — | — | — | — | — | — | — | — | (14,238 | ) | — | — | ||||||||||||||||||||||||||||||||||
Other assets: | |||||||||||||||||||||||||||||||||||||||||||||||
Guarantee asset(7) | 1,029 | 4 | — | 4 | — | 688 | — | (110 | ) | — | — | 1,611 | 4 | ||||||||||||||||||||||||||||||||||
All other, at fair value | 114 | 30 | — | 30 | — | — | (135 | ) | — | — | — | 9 | 7 | ||||||||||||||||||||||||||||||||||
Total other assets | 1,143 | 34 | — | 34 | — | 688 | (135 | ) | (110 | ) | — | — | 1,620 | 11 | |||||||||||||||||||||||||||||||||
Realized and unrealized (gains) losses | |||||||||||||||||||||||||||||||||||||||||||||||
Balance, January 1, 2013 | Included in earnings(1)(2)(3)(4) | Included in other comprehensive income(1) | Total | Purchases | Issues | Sales | Settlements, net | Transfers into Level 3(5) | Transfers out of Level 3(5) | Balance, December 31, 2013 | Unrealized (gains) losses still held(6) | ||||||||||||||||||||||||||||||||||||
(in millions) | |||||||||||||||||||||||||||||||||||||||||||||||
Liabilities | |||||||||||||||||||||||||||||||||||||||||||||||
Other debt, at fair value | $ | 2,187 | $ | 11 | $ | — | $ | 11 | $ | — | $ | 1,130 | $ | — | $ | (670 | ) | $ | — | $ | (1,130 | ) | $ | 1,528 | $ | 4 | |||||||||||||||||||||
Net derivatives(8) | 47 | 301 | — | 301 | — | 12 | — | (35 | ) | — | — | 325 | 274 |
Year Ended December 31, 2012 | |||||||||||||||||||||||||||||||||||||||||||||||
Realized and unrealized gains (losses) | |||||||||||||||||||||||||||||||||||||||||||||||
Balance, January 1, 2012 | Included in earnings(1)(2)(3)(4) | Included in other comprehensive income(1) | Total | Purchases | Issues | Sales | Settlements, net | Transfers into Level 3 | Transfers out of Level 3 | Balance, December 31, 2012 | Unrealized gains (losses) still held(6) | ||||||||||||||||||||||||||||||||||||
(in millions) | |||||||||||||||||||||||||||||||||||||||||||||||
Assets | |||||||||||||||||||||||||||||||||||||||||||||||
Investments in securities: | |||||||||||||||||||||||||||||||||||||||||||||||
Available-for-sale, at fair value: | |||||||||||||||||||||||||||||||||||||||||||||||
Mortgage-related securities: | |||||||||||||||||||||||||||||||||||||||||||||||
Freddie Mac | $ | 2,048 | $ | — | $ | 18 | $ | 18 | $ | — | $ | — | $ | — | $ | (144 | ) | $ | — | $ | (120 | ) | $ | 1,802 | $ | — | |||||||||||||||||||||
Fannie Mae | 172 | — | 1 | 1 | — | — | — | (31 | ) | 21 | — | 163 | — | ||||||||||||||||||||||||||||||||||
Ginnie Mae | 12 | — | — | — | — | — | — | (4 | ) | 8 | — | 16 | — | ||||||||||||||||||||||||||||||||||
CMBS | 3,756 | 76 | (38 | ) | 38 | — | — | (331 | ) | (34 | ) | — | — | 3,429 | — | ||||||||||||||||||||||||||||||||
Subprime | 27,999 | (1,274 | ) | 4,301 | 3,027 | — | — | — | (4,569 | ) | — | — | 26,457 | (1,274 | ) | ||||||||||||||||||||||||||||||||
Option ARM | 5,865 | (552 | ) | 1,417 | 865 | — | — | (15 | ) | (998 | ) | — | — | 5,717 | (556 | ) | |||||||||||||||||||||||||||||||
Alt-A and other | 10,868 | (196 | ) | 1,822 | 1,626 | — | — | — | (1,601 | ) | 11 | — | 10,904 | (196 | ) | ||||||||||||||||||||||||||||||||
Obligations of states and political subdivisions | 7,824 | 19 | 108 | 127 | — | — | (482 | ) | (1,671 | ) | — | — | 5,798 | — | |||||||||||||||||||||||||||||||||
Manufactured housing | 766 | (4 | ) | 47 | 43 | — | — | — | (100 | ) | — | — | 709 | (4 | ) | ||||||||||||||||||||||||||||||||
Total available-for-sale mortgage-related securities | 59,310 | (1,931 | ) | 7,676 | 5,745 | — | — | (828 | ) | (9,152 | ) | 40 | (120 | ) | 54,995 | (2,030 | ) | ||||||||||||||||||||||||||||||
Trading, at fair value: | |||||||||||||||||||||||||||||||||||||||||||||||
Mortgage-related securities: | |||||||||||||||||||||||||||||||||||||||||||||||
Freddie Mac | 1,866 | (389 | ) | — | (389 | ) | 25 | 95 | (76 | ) | (206 | ) | 92 | (242 | ) | 1,165 | (390 | ) | |||||||||||||||||||||||||||||
Fannie Mae | 538 | (131 | ) | — | (131 | ) | (5 | ) | — | 5 | (35 | ) | — | (60 | ) | 312 | (131 | ) | |||||||||||||||||||||||||||||
Ginnie Mae | 22 | 1 | — | 1 | — | — | — | (16 | ) | 98 | (13 | ) | 92 | 1 | |||||||||||||||||||||||||||||||||
Other | 90 | — | — | — | — | 18 | (10 | ) | (3 | ) | — | (74 | ) | 21 | (1 | ) | |||||||||||||||||||||||||||||||
Total trading mortgage-related securities | 2,516 | (519 | ) | — | (519 | ) | 20 | 113 | (81 | ) | (260 | ) | 190 | (389 | ) | 1,590 | (521 | ) | |||||||||||||||||||||||||||||
Mortgage loans: | |||||||||||||||||||||||||||||||||||||||||||||||
Held-for-sale, at fair value | 9,710 | 1,011 | — | 1,011 | 25,340 | — | (21,764 | ) | (59 | ) | — | — | 14,238 | 263 | |||||||||||||||||||||||||||||||||
Other assets: | |||||||||||||||||||||||||||||||||||||||||||||||
Guarantee asset(7) | 752 | (23 | ) | — | (23 | ) | — | 382 | — | (82 | ) | — | — | 1,029 | (23 | ) | |||||||||||||||||||||||||||||||
All other, at fair value | 151 | (37 | ) | — | (37 | ) | — | — | — | — | — | — | 114 | (37 | ) | ||||||||||||||||||||||||||||||||
Total other assets | 903 | (60 | ) | — | (60 | ) | — | 382 | — | (82 | ) | — | — | 1,143 | (60 | ) | |||||||||||||||||||||||||||||||
Realized and unrealized (gains) losses | |||||||||||||||||||||||||||||||||||||||||||||||
Balance, January 1, 2012 | Included in earnings(1)(2)(3)(4) | Included in other comprehensive income(1) | Total | Purchases | Issues | Sales | Settlements, net | Transfers into Level 3 | Transfers out of Level 3 | Balance, December 31, 2012 | Unrealized (gains) losses still held(6) | ||||||||||||||||||||||||||||||||||||
(in millions) | |||||||||||||||||||||||||||||||||||||||||||||||
Liabilities | |||||||||||||||||||||||||||||||||||||||||||||||
Other debt, at fair value | $ | — | $ | (16 | ) | $ | — | $ | (16 | ) | $ | — | $ | — | $ | — | $ | (812 | ) | $ | 3,015 | $ | — | $ | 2,187 | $ | (6 | ) | |||||||||||||||||||
Net derivatives(8) | (17 | ) | 30 | — | 30 | — | 3 | — | (2 | ) | — | 33 | 47 | 15 |
(1) | Changes in fair value for available-for-sale investment securities are recorded in AOCI, while gains and losses from sales are recorded in other gains (losses) on investment securities recognized in earnings on our consolidated statements of comprehensive income. For mortgage-related securities classified as trading, the realized and unrealized gains (losses) are recorded in other gains (losses) on investment securities recognized in earnings on our consolidated statements of comprehensive income. |
(2) | Changes in fair value of derivatives not designated as accounting hedges are recorded in derivative gains (losses) on our consolidated statements of comprehensive income. |
(3) | Changes in fair value of the guarantee asset are recorded in other income on our consolidated statements of comprehensive income. |
(4) | For held-for-sale mortgage loans with the fair value option elected, gains (losses) on fair value changes and from sales of mortgage loans are recorded in other income on our consolidated statements of comprehensive income. |
(5) | Transfers out of Level 3 during the year ended December 31, 2013 are due to: (a) our enhancement to our pricing methodology for multifamily mortgage loans, held-for-sale, to more directly reflect the increasingly observable nature of our exit market of loan securitization; and (b) an increased volume and level of activity in the market and availability of price quotes from dealers and third-party pricing services for: (i) trading mortgage-related securities; and (ii) STACR debt notes included in other debt at fair value. |
(6) | Represents the amount of total gains or losses for the period, included in earnings, attributable to the change in unrealized gains and losses related to assets and liabilities classified as Level 3 that were still held at December 31, 2013 and 2012, respectively. Included in these amounts are credit-related other-than-temporary impairments recorded on available-for-sale securities. |
(7) | We estimate that all amounts recorded for unrealized gains and losses on our guarantee asset relate to those guarantee asset amounts still recorded on our balance sheet. The amounts reflected as included in earnings represent the periodic fair value changes of our guarantee asset. |
(8) | Net derivatives include derivative assets and derivative liabilities prior to counterparty netting, cash collateral netting, net trade/settle receivable or payable and net derivative interest receivable or payable. |
Fair Value at December 31, | |||||||||||||||||||||||||||||||
2013 | 2012 | ||||||||||||||||||||||||||||||
Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||||||||||||||
(in millions) | |||||||||||||||||||||||||||||||
Assets measured at fair value on a non-recurring basis: | |||||||||||||||||||||||||||||||
Mortgage loans:(1) | |||||||||||||||||||||||||||||||
Held-for-investment | $ | — | $ | — | $ | 515 | $ | 515 | $ | — | $ | — | $ | 1,025 | $ | 1,025 | |||||||||||||||
REO, net(2) | — | — | 1,837 | 1,837 | — | — | 776 | 776 | |||||||||||||||||||||||
Total assets measured at fair value on a non-recurring basis | $ | — | $ | — | $ | 2,352 | $ | 2,352 | $ | — | $ | — | $ | 1,801 | $ | 1,801 |
Total Gains (Losses)(3) | |||||||||||
Year Ended December 31, | |||||||||||
2013 | 2012 | 2011 | |||||||||
(in millions) | |||||||||||
Assets measured at fair value on a non-recurring basis: | |||||||||||
Mortgage loans:(1) | |||||||||||
Held-for-investment | $ | 22 | $ | (49 | ) | $ | (16 | ) | |||
REO, net(2) | (50 | ) | (22 | ) | (118 | ) | |||||
Total gains (losses) | $ | (28 | ) | $ | (71 | ) | $ | (134 | ) |
(1) | Represents carrying value and related write-downs of loans for which adjustments are based on the fair value amounts. These loans consist of impaired multifamily mortgage loans that are classified as held-for-investment and have a related valuation allowance. |
(2) | Represents the fair value and related losses of foreclosed properties that were measured at fair value subsequent to their initial classification as REO, net. The carrying amount of REO, net was written down to fair value of $1.8 billion, less estimated costs to sell of $118 million (or approximately $1.7 billion) at December 31, 2013. The carrying amount of REO, net was written down to fair value of $0.8 billion , less estimated costs to sell of $50 million (or approximately $0.7 billion) at December 31, 2012. |
(3) | Represents the total net gains (losses) recorded on items measured at fair value on a non-recurring basis for the years ended December 31, 2013, 2012, and 2011, respectively. |
December 31, 2013 | |||||||||||||||||
Total Fair Value | Level 3 Fair Value | Predominant Valuation Technique(s) | Unobservable Inputs(1) | ||||||||||||||
Type | Range | Weighted Average | |||||||||||||||
(dollars in millions) | |||||||||||||||||
Recurring fair value measurements | |||||||||||||||||
Assets | |||||||||||||||||
Investments in securities | |||||||||||||||||
Available-for-sale, at fair value | |||||||||||||||||
Mortgage-related securities | |||||||||||||||||
Agency securities: | |||||||||||||||||
Freddie Mac | $ | 1,547 | Risk metric | Effective duration(2) | 2.25 - 5.17 years | 2.44 years | |||||||||||
133 | Single external source | External pricing source | $99.3 - $99.3 | $ | 99.3 | ||||||||||||
259 | Other | ||||||||||||||||
Total Freddie Mac | $ | 40,659 | 1,939 | ||||||||||||||
Fannie Mae | 91 | Single external source | External pricing source | $110.5 - $110.5 | $ | 110.5 | |||||||||||
26 | Median of external sources | External pricing sources | $104.1 - $105.3 | $ | 104.7 | ||||||||||||
14 | Other | ||||||||||||||||
Total Fannie Mae | 10,797 | 131 | |||||||||||||||
Ginnie Mae | 6 | Median of external sources | |||||||||||||||
6 | Discounted cash flows | ||||||||||||||||
Total Ginnie Mae | 167 | 12 | |||||||||||||||
CMBS | 2,942 | Single external source | External pricing source | $90.9 - $90.9 | $ | 90.9 | |||||||||||
167 | Other | ||||||||||||||||
Total CMBS | 30,338 | 3,109 | |||||||||||||||
Subprime, option ARM, and Alt-A: | |||||||||||||||||
Subprime | 25,367 | Median of external sources | External pricing sources | $64.5 - $73.8 | $ | 68.7 | |||||||||||
2,132 | Other | ||||||||||||||||
Total subprime | 27,499 | 27,499 | |||||||||||||||
Option ARM | 4,995 | Median of external sources | External pricing sources | $60.8- $67.0 | $ | 64.4 | |||||||||||
705 | Discounted cash flows | OAS | 461 - 944 bps | 729 bps | |||||||||||||
874 | Other | ||||||||||||||||
Total option ARM | 6,574 | 6,574 | |||||||||||||||
Alt-A and other | 4,028 | Single external source | External pricing source | $83.4 - $83.4 | $ | 83.4 | |||||||||||
3,503 | Median of external sources | External pricing sources | $72.5 - $79.1 | $ | 75.7 | ||||||||||||
1,175 | Other | ||||||||||||||||
Total Alt-A and other | 8,706 | 8,706 | |||||||||||||||
Obligations of states and political subdivisions | 3,067 | Median of external sources | External pricing sources | $98.7 - $99.7 | $ | 99.2 | |||||||||||
428 | Other | ||||||||||||||||
Total obligations of states and political subdivisions | 3,495 | 3,495 | |||||||||||||||
Manufactured housing | 577 | Median of external sources | External pricing sources | $86.7 - $92.8 | $ | 89.7 | |||||||||||
107 | Other | ||||||||||||||||
Total manufactured housing | 684 | 684 | |||||||||||||||
Total available-for-sale mortgage-related securities | 128,919 | 52,149 | |||||||||||||||
Trading, at fair value | |||||||||||||||||
Mortgage-related securities | |||||||||||||||||
Agency securities: | |||||||||||||||||
Freddie Mac | 297 | Discounted cash flows | OAS | (5) - 9,441 bps | 364 bps | ||||||||||||
46 | Other | ||||||||||||||||
Total Freddie Mac | 9,349 | 343 | |||||||||||||||
Fannie Mae | 191 | Discounted cash flows | OAS | (2,257) - 2,295 bps | 199 bps | ||||||||||||
30 | Other | ||||||||||||||||
Total Fannie Mae | 7,180 | 221 | |||||||||||||||
Ginnie Mae | 74 | Median of external sources | |||||||||||||||
Total Ginnie Mae | 98 | 74 | |||||||||||||||
Other | 7 | Single external source | |||||||||||||||
1 | Other | ||||||||||||||||
Total other | 141 | 8 | |||||||||||||||
Total trading mortgage-related securities | 16,768 | 646 | |||||||||||||||
Total investments in securities | $ | 145,687 | $ | 52,795 | |||||||||||||
Other assets: | |||||||||||||||||
Guarantee asset, at fair value | 1,163 | Discounted cash flows | OAS | 16 - 202 bps | 53 bps | ||||||||||||
448 | Median of external sources | External pricing sources | $11.6 - $25.4 | $ | 19.2 | ||||||||||||
Total guarantee asset, at fair value | 1,611 | 1,611 | |||||||||||||||
All other, at fair value | 9 | Other | |||||||||||||||
Total all other, at fair value | 9 | 9 | |||||||||||||||
Total other assets | 1,620 | 1,620 | |||||||||||||||
Liabilities | |||||||||||||||||
Other debt, at fair value | 1,000 | Single external source | External pricing source | $100.0 - $100.0 | $ | 100.0 | |||||||||||
528 | Median of external sources | External pricing sources | $100.0 - $100.1 | 100.0 | |||||||||||||
Total other debt recorded at fair value | 2,683 | 1,528 | |||||||||||||||
Net derivatives | 283 | Single external source | External pricing source | $0.8 - $0.8 | $ | 0.8 | |||||||||||
37 | Discounted cash flows | ||||||||||||||||
5 | Other | ||||||||||||||||
Total net derivatives | (883 | ) | 325 |
December 31, 2012 | |||||||||||||||||
Total Fair Value | Level 3 Fair Value | Predominant Valuation Technique(s) | Unobservable Inputs(1) | ||||||||||||||
Type | Range | Weighted Average | |||||||||||||||
(dollars in millions) | |||||||||||||||||
Recurring fair value measurements | |||||||||||||||||
Assets | |||||||||||||||||
Investments in securities | |||||||||||||||||
Available-for-sale, at fair value | |||||||||||||||||
Mortgage-related securities | |||||||||||||||||
Agency securities: | |||||||||||||||||
Freddie Mac | $ | 1,477 | Risk metric | Effective duration(2) | 0.89 -1.98 years | 0.89 years | |||||||||||
325 | Other | ||||||||||||||||
Total Freddie Mac | $ | 58,515 | 1,802 | ||||||||||||||
Fannie Mae | 78 | Median of external sources | External pricing sources | $103.9 - $106.0 | $ | 105.2 | |||||||||||
65 | Single external source | External pricing source | $116.0 - $116.0 | $ | 116.0 | ||||||||||||
20 | Other | ||||||||||||||||
Total Fannie Mae | 15,280 | 163 | |||||||||||||||
Ginnie Mae | 8 | Discounted cash flows | |||||||||||||||
8 | Median of external sources | ||||||||||||||||
Total Ginnie Mae | 209 | 16 | |||||||||||||||
CMBS | 2,462 | Single external source | External pricing source | $99.4 - $99.4 | $ | 99.4 | |||||||||||
432 | Risk metric | Effective duration(2) | 9.3 -14.8 years | 12.0 years | |||||||||||||
535 | Other | ||||||||||||||||
Total CMBS | 51,307 | 3,429 | |||||||||||||||
Subprime, option ARM, and Alt-A: | |||||||||||||||||
Subprime | 24,890 | Median of external sources | External pricing sources | $54.4 - $64.4 | $ | 59.2 | |||||||||||
1,567 | Other | ||||||||||||||||
Total subprime | 26,457 | 26,457 | |||||||||||||||
Option ARM | 5,631 | Median of external sources | External pricing sources | $43.8 - $52.6 | $ | 47.9 | |||||||||||
86 | Other | ||||||||||||||||
Total option ARM | 5,717 | 5,717 | |||||||||||||||
Alt-A and other | 8,562 | Median of external sources | External pricing sources | $69.6 - $77.9 | $ | 73.8 | |||||||||||
1,901 | Single external source | External pricing source | $71.8 - $71.8 | $ | 71.8 | ||||||||||||
441 | Other | ||||||||||||||||
Total Alt-A and other | 10,904 | 10,904 | |||||||||||||||
Obligations of states and political subdivisions | 5,533 | Median of external sources | External pricing sources | $102.3 - $103.2 | $ | 102.7 | |||||||||||
265 | Other | ||||||||||||||||
Total obligations of states and political subdivisions | 5,798 | 5,798 | |||||||||||||||
Manufactured housing | 693 | Median of external sources | External pricing sources | $80.0 - $85.5 | $ | 82.8 | |||||||||||
16 | Other | ||||||||||||||||
Total manufactured housing | 709 | 709 | |||||||||||||||
Total available-for-sale mortgage-related securities | 174,896 | 54,995 | |||||||||||||||
Trading, at fair value | |||||||||||||||||
Mortgage-related securities | |||||||||||||||||
Agency securities: | |||||||||||||||||
Freddie Mac | 1,112 | Discounted cash flows | OAS | (33,702) - 3,251 bps | 502 bps | ||||||||||||
53 | Other | ||||||||||||||||
Total Freddie Mac | 10,354 | 1,165 | |||||||||||||||
Fannie Mae | 312 | Discounted cash flows | OAS | (1,263) - 3,251 bps | 810 bps | ||||||||||||
Total Fannie Mae | 10,338 | 312 | |||||||||||||||
Ginnie Mae | 87 | Median of external sources | |||||||||||||||
5 | Other | ||||||||||||||||
Total Ginnie Mae | 131 | 92 | |||||||||||||||
Other | 12 | Discounted cash flows | |||||||||||||||
9 | Median of external sources | ||||||||||||||||
Total other | 156 | 21 | |||||||||||||||
Total trading mortgage-related securities | 20,979 | 1,590 | |||||||||||||||
Total investments in securities | $ | 195,875 | $ | 56,585 | |||||||||||||
Mortgage loans: | |||||||||||||||||
Held-for-sale, at fair value | $ | 14,238 | $ | 14,238 | Discounted cash flows | DSCR | 1.25 - 6.88 | 1.97 | |||||||||
Current LTV | 19% - 80% | 69 | % | ||||||||||||||
Other assets: | |||||||||||||||||
Guarantee asset, at fair value | 870 | Discounted cash flows | OAS | 0 - 368 bps | 55 bps | ||||||||||||
159 | Other | ||||||||||||||||
Total guarantee asset, at fair value | 1,029 | 1,029 | |||||||||||||||
All other, at fair value | 112 | Discounted cash flows | Prepayment rate | 7.73% -39.87% | 21.23 | % | |||||||||||
Servicing income per loan | 0.19% - 0.52% | 0.25 | % | ||||||||||||||
Cost to service per loan | $78 - $354 | $ | 141 | ||||||||||||||
2 | Other | ||||||||||||||||
Total all other, at fair value | 114 | 114 | |||||||||||||||
Total other assets | 1,143 | 1,143 | |||||||||||||||
Liabilities | |||||||||||||||||
Other debt, at fair value | 1,188 | Median of external sources | External pricing sources | $101.7 - $102.0 | $ | 101.7 | |||||||||||
999 | Single external source | External pricing source | $99.9 - $99.9 | $ | 99.9 | ||||||||||||
Total other debt recorded at fair value | 2,187 | 2,187 | |||||||||||||||
Net derivatives | (479 | ) | 47 | Other |
(1) | Certain unobservable input types, range, and weighted average data are not disclosed in this table if they are associated with a class: (a) that has a Level 3 fair value measurement that is not considered material; or (b) where we have disclosed the predominant valuation technique with related unobservable inputs for the most significant portion of that class. |
(2) | Effective duration is used as a proxy to represent the aggregate impact of key rate durations. |
December 31, 2013 | |||||||||||||||||
Total Fair Value | Level 3 Fair Value | Predominant Valuation Technique(s) | Unobservable Inputs(1) | ||||||||||||||
Type | Range | Weighted Average | |||||||||||||||
(dollars in millions) | |||||||||||||||||
Non-recurring fair value measurements | |||||||||||||||||
Mortgage loans | |||||||||||||||||
Held-for-investment | $ | 298 | Income capitalization | Capitalization rates(2) | 6% - 9% | 7% | |||||||||||
217 | Third-party appraisal | Property value | $4 million - $44 million | $27 million | |||||||||||||
Total held-for-investment | $ | 515 | 515 | ||||||||||||||
REO, net | 1,837 | Internal model(3) | Historical average sales proceeds per property by state(4) | $17,500 - $318,391 | $ | 105,508 | |||||||||||
Total REO, net | 1,837 | 1,837 | |||||||||||||||
December 31, 2012 | |||||||||||||||||
Total Fair Value | Level 3 Fair Value | Predominant Valuation Technique(s) | Unobservable Inputs(1) | ||||||||||||||
Type | Range | Weighted Average | |||||||||||||||
(dollars in millions) | |||||||||||||||||
Non-recurring fair value measurements | |||||||||||||||||
Mortgage loans | |||||||||||||||||
Held-for-investment | $ | 711 | Income capitalization | Capitalization rates(2) | 5% - 9% | 7% | |||||||||||
314 | Third-party appraisal | Property value | $2 million - $43 million | $21 million | |||||||||||||
Total held-for-investment | $ | 1,025 | 1,025 | ||||||||||||||
REO, net | 771 | Internal model(3) | Historical average sales proceeds per property by state(4) | $32,186 - $356,397 | $102,697 | ||||||||||||
5 | Other | ||||||||||||||||
Total REO, net | 776 | 776 |
(1) | Certain unobservable input types, range, and weighted average data are not disclosed in this table if they are associated with a class: (a) that has a Level 3 fair value measurement that is not considered material; or (b) where we have disclosed the predominant valuation technique with related unobservable inputs for the most significant portion of that class. |
(2) | The capitalization rate “Range” and “Weighted Average” represent those loans that are valued using the Income Capitalization approach, which is the predominant valuation technique used for this population. Certain loans in this population are valued using other techniques, and the capitalization rate for those is not represented in the “Range” or “Weighted Average” above. |
(3) | Represents an internal model that uses actual REO disposition prices for the prior three months, calibrated to the most recent month's disposition prices, to determine the average sales proceeds per property at the state level, expressed as a fixed percentage based on the ratio of the disposition price to the UPB of the associated loan. This valuation technique is used to measure both the initial value of REO and the subsequent write-down to current fair value. |
(4) | Represents the average of three months of REO sales proceeds by state. The national average REO disposition severity ratio for our REO properties was 35.8% and 39.5% for the years ended December 31, 2013 and 2012, respectively. |
December 31, 2013 | |||||||||||||||||||||||
Fair Value | |||||||||||||||||||||||
Carrying Amount(1) | Level 1 | Level 2 | Level 3 | Netting Adjustments | Total | ||||||||||||||||||
(in millions) | |||||||||||||||||||||||
Financial Assets | |||||||||||||||||||||||
Cash and cash equivalents | $ | 11,281 | $ | 7,360 | $ | 3,921 | $ | — | $ | — | $ | 11,281 | |||||||||||
Restricted cash and cash equivalents | 12,265 | 12,264 | 1 | — | — | 12,265 | |||||||||||||||||
Federal funds sold and securities purchased under agreements to resell | 62,383 | — | 62,383 | — | — | 62,383 | |||||||||||||||||
Investments in securities: | |||||||||||||||||||||||
Available-for-sale, at fair value | 128,919 | — | 76,770 | 52,149 | — | 128,919 | |||||||||||||||||
Trading, at fair value | 23,404 | 6,636 | 16,122 | 646 | — | 23,404 | |||||||||||||||||
Total investments in securities | 152,323 | 6,636 | 92,892 | 52,795 | — | 152,323 | |||||||||||||||||
Mortgage loans: | |||||||||||||||||||||||
Mortgage loans held by consolidated trusts | 1,529,905 | — | 1,258,049 | 249,693 | — | 1,507,742 | |||||||||||||||||
Unsecuritized mortgage loans | 154,885 | — | 16,145 | 122,065 | — | 138,210 | |||||||||||||||||
Total mortgage loans(2) | 1,684,790 | — | 1,274,194 | 371,758 | — | 1,645,952 | |||||||||||||||||
Derivative assets, net | 1,063 | — | 14,220 | 11 | (13,168 | ) | 1,063 | ||||||||||||||||
Guarantee asset | 1,611 | — | — | 1,879 | — | 1,879 | |||||||||||||||||
Total financial assets | $ | 1,925,716 | $ | 26,260 | $ | 1,447,611 | $ | 426,443 | $ | (13,168 | ) | $ | 1,887,146 | ||||||||||
Financial Liabilities | |||||||||||||||||||||||
Debt, net: | |||||||||||||||||||||||
Debt securities of consolidated trusts held by third parties | $ | 1,433,984 | $ | — | $ | 1,435,894 | $ | 1,004 | $ | — | $ | 1,436,898 | |||||||||||
Other debt | 506,767 | — | 499,756 | 13,089 | — | 512,845 | |||||||||||||||||
Total debt, net | 1,940,751 | — | 1,935,650 | 14,093 | — | 1,949,743 | |||||||||||||||||
Derivative liabilities, net | 180 | — | 13,291 | 336 | (13,447 | ) | 180 | ||||||||||||||||
Guarantee obligation | 1,522 | — | — | 3,067 | — | 3,067 | |||||||||||||||||
Total financial liabilities | $ | 1,942,453 | $ | — | $ | 1,948,941 | $ | 17,496 | $ | (13,447 | ) | $ | 1,952,990 | ||||||||||
December 31, 2012 | |||||||||||||||||||||||
Fair Value | |||||||||||||||||||||||
Carrying Amount(1) | Level 1 | Level 2 | Level 3 | Netting Adjustments | Total | ||||||||||||||||||
(in millions) | |||||||||||||||||||||||
Financial Assets | |||||||||||||||||||||||
Cash and cash equivalents | $ | 8,513 | $ | 8,513 | $ | — | $ | — | $ | — | $ | 8,513 | |||||||||||
Restricted cash and cash equivalents | 14,592 | 14,576 | 16 | — | — | 14,592 | |||||||||||||||||
Federal funds sold and securities purchased under agreements to resell | 37,563 | — | 37,563 | — | — | 37,563 | |||||||||||||||||
Investments in securities: | |||||||||||||||||||||||
Available-for-sale, at fair value | 174,896 | — | 119,901 | 54,995 | — | 174,896 | |||||||||||||||||
Trading, at fair value | 41,492 | 20,221 | 19,681 | 1,590 | — | 41,492 | |||||||||||||||||
Total investments in securities | 216,388 | 20,221 | 139,582 | 56,585 | — | 216,388 | |||||||||||||||||
Mortgage loans: | |||||||||||||||||||||||
Mortgage loans held by consolidated trusts | 1,495,932 | — | 1,130,438 | 409,722 | — | 1,540,160 | |||||||||||||||||
Unsecuritized mortgage loans | 190,415 | — | 16,428 | 151,175 | — | 167,603 | |||||||||||||||||
Total mortgage loans | 1,686,347 | — | 1,146,866 | 560,897 | — | 1,707,763 | |||||||||||||||||
Derivative assets, net | 657 | 64 | 24,109 | 20 | (23,536 | ) | 657 | ||||||||||||||||
Guarantee asset | 1,029 | — | — | 1,325 | — | 1,325 | |||||||||||||||||
Total financial assets | $ | 1,965,089 | $ | 43,374 | $ | 1,348,136 | $ | 618,827 | $ | (23,536 | ) | $ | 1,986,801 | ||||||||||
Financial Liabilities | |||||||||||||||||||||||
Debt, net: | |||||||||||||||||||||||
Debt securities of consolidated trusts held by third parties | $ | 1,419,524 | $ | — | $ | 1,484,228 | $ | 2,867 | $ | — | $ | 1,487,095 | |||||||||||
Other debt | 547,518 | — | 546,955 | 18,646 | — | 565,601 | |||||||||||||||||
Total debt, net | 1,967,042 | — | 2,031,183 | 21,513 | — | 2,052,696 | |||||||||||||||||
Derivative liabilities, net | 178 | 8 | 31,014 | 67 | (30,911 | ) | 178 | ||||||||||||||||
Guarantee obligation | 1,004 | — | — | 2,487 | — | 2,487 | |||||||||||||||||
Total financial liabilities | $ | 1,968,224 | $ | 8 | $ | 2,062,197 | $ | 24,067 | $ | (30,911 | ) | $ | 2,055,361 |
(1) | Equals the amount reported on our GAAP consolidated balance sheets. |
(2) | The fair value of single-family mortgage loans as of December 31, 2013 includes the effect of a change in estimate related to enhancements implemented to align our economic capital methodology with external capital benchmarks. |
December 31, | |||||||||||||||
2013 | 2012 | ||||||||||||||
Multifamily Held-For-Sale Mortgage Loans | Other Debt - Long Term | Multifamily Held-For-Sale Mortgage Loans | Other Debt - Long Term | ||||||||||||
(in millions) | |||||||||||||||
Fair value | $ | 8,727 | $ | 2,683 | $ | 14,238 | $ | 2,187 | |||||||
Unpaid principal balance | 8,721 | 2,635 | 13,972 | 2,167 | |||||||||||
Difference | $ | 6 | $ | 48 | $ | 266 | $ | 20 |