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Derivatives (Tables)
 9 Months Ended
Sep. 30, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Table - Derivative Assets and Liabilities at Fair Value
The table below presents the notional value and fair value of derivatives reported on our condensed consolidated balance sheets.
Table 9.1 - Derivative Assets and Liabilities at Fair Value
 
 
September 30, 2020
 
December 31, 2019
 
 
Notional or
Contractual
Amount
Derivatives at Fair Value
 
Notional or
Contractual
Amount
Derivatives at Fair Value
(In millions)
 
Assets
Liabilities
 
Assets
Liabilities
Not designated as hedges
 
 
 
 
 
 
 
 
Interest-rate swaps:
 
 
 
 
 
 
 
 
Receive-fixed
 

$282,612


$2,933


($4
)
 

$230,926


$1,990


($6
)
Pay-fixed
 
329,506

—

(7,452
)
 
251,392

10

(4,162
)
Basis (floating to floating)
 
5,314

—

—

 
5,924

—

—

Total interest-rate swaps
 
617,432

2,933

(7,456
)
 
488,242

2,000

(4,168
)
Option-based:
 
 
 
 
 
 
 
 
Call swaptions
 
 
 
 
 
 
 
 
Purchased
 
62,200

4,675

—

 
75,325

2,717

—

Written
 
7,050

—

(387
)
 
3,375

—

(42
)
Put swaptions
 
 
 
 
 
 
 
 
Purchased(1)
 
82,325

978

—

 
67,155

835

—

Written
 
9,205

—

(220
)
 
7,275

—

(88
)
Options on futures
 
11,000

2

—

 
—

—

—

Other option-based derivatives(2)
 
29,234

730

—

 
10,334

646

—

Total option-based
 
201,014

6,385

(607
)
 
163,464

4,198

(130
)
Futures
 
261,661

—

—

 
210,305

—

—

Commitments
 
217,051

185

(427
)
 
93,960

61

(126
)
CRT-related derivatives
 
21,832

73

(50
)
 
12,362

15

(116
)
Other
 
9,845

2

(16
)
 
5,984

1

(28
)
Total derivatives not designated as hedges
 
1,328,835

9,578

(8,556
)
 
974,317

6,275

(4,568
)
Designated as fair value hedges
 
 
 
 
 
 
 
 
Interest-rate swaps:
 
 
 
 
 
 
 
 
Receive-fixed
 
147,875

268

(57
)
 
104,459

104

(75
)
Pay-fixed
 
39,634

—

(905
)
 
87,907

—

(639
)
Total derivatives designated as fair value hedges
 
187,509

268

(962
)
 
192,366

104

(714
)
Derivative interest and other receivable (payable)(3)
 
 
591

(551
)
 
 
887

(724
)
Netting adjustments(4)
 
 
(9,155
)
9,456

 
 
(6,422
)
5,634

Total derivative portfolio, net
 

$1,516,344


$1,282


($613
)
 

$1,166,683


$844


($372
)
(1)
Includes swaptions on credit indices with a notional or contractual amount of $13.1 billion and $11.4 billion at September 30, 2020 and December 31, 2019, respectively, and a fair value of $35.0 million and $3.0 million at September 30, 2020 and December 31, 2019, respectively.
(2)
Primarily consists of purchased interest-rate caps and floors.
(3)
Includes other derivative receivables and payables.
(4)
Represents counterparty netting and cash collateral netting.
Table - Gains and Losses on Derivatives
The table below presents the gains and losses on derivatives, including the accrual of periodic cash settlements, while not designated in qualifying hedge relationships and reported on our condensed consolidated statements of comprehensive income (loss) as investment gain (losses), net.
Table 9.2 - Gains and Losses on Derivatives
(In millions)
 
3Q 2020
3Q 2019
 
YTD 2020
YTD 2019
Not designated as hedges
 
 
 
 
 
 
Interest-rate swaps:
 
 
 
 
 
 
Receive-fixed
 

($1,755
)

$2,060

 

$13,862


$7,580

Pay-fixed
 
2,796

(3,866
)
 
(16,677
)
(12,152
)
Basis (floating to floating)
 
7

(3
)
 
—

7

Total interest-rate swaps
 
1,048

(1,809
)
 
(2,815
)
(4,565
)
Option-based:
 
 
 
 
 
 
Call swaptions
 
 
 
 
 
 
Purchased
 
(533
)
1,398

 
3,733

2,981

Written
 
52

(109
)
 
(340
)
(343
)
Put swaptions
 
 
 
 
 
 
Purchased
 
43

(355
)
 
(579
)
(1,406
)
Written
 
(15
)
19

 
112

83

Options on futures
 
(13
)
—

 
(19
)
—

Other option-based derivatives(1)
 
(77
)
(6
)
 
67

93

Total option-based
 
(543
)
947

 
2,974

1,408

Other:
 
 
 
 
 
 
Futures
 
(33
)
(262
)
 
(2,481
)
(1,283
)
Commitments
 
(335
)
(54
)
 
(1,457
)
(366
)
CRT-related derivatives
 
48

—

 
169

1

Other
 
18

8

 
55

36

Total other
 
(302
)
(308
)
 
(3,714
)
(1,612
)
Accrual of periodic cash settlements:
 
 
 
 
 
 
Receive-fixed interest-rate swaps
 
917

39

 
1,746

(32
)
Pay-fixed interest-rate swaps
 
(1,521
)
(126
)
 
(2,959
)
(220
)
Other(2)
 
64

40

 
168

109

Total accrual of periodic cash settlements
 
(540
)
(47
)
 
(1,045
)
(143
)
Total
 

($337
)

($1,217
)
 

($4,600
)

($4,912
)
(1)
Primarily consists of purchased interest-rate caps and floors.
(2)
Includes interest on variation margin on cleared interest-rate swaps.
Table - Gains and Losses on Fair Value Hedge
The tables below present the effects of fair value hedge accounting by condensed consolidated statements of comprehensive income (loss) line, including the gains and losses on derivatives and hedged items designated in qualifying hedge relationships and other components due to the application of hedge accounting.
Table 9.3 - Gains and Losses on Fair Value Hedges
 
 
3Q 2020
3Q 2019
(In millions)
 
Interest Income - Mortgage Loans
Interest Expense
Interest Income - Mortgage Loans
Interest Expense
Total amounts of income and expense line items presented in our condensed consolidated statements of comprehensive income in which the effects of fair value hedges are recorded:
 

$14,134


($11,392
)

$16,428


($15,130
)
 
 
 
 
 
 
Interest contracts on mortgage loans held-for-investment:
 
 
 
 
 
Gain (loss) on fair value hedging relationships:
 
 
 
 
 
Hedged items
 
(121
)
—

1,298

—

Derivatives designated as hedging instruments
 
239

—

(1,588
)
—

Interest accruals on hedging instruments
 
(128
)
—

(48
)
—

Discontinued hedge-related basis adjustments amortization
 
(943
)
—

(210
)
—

Interest contracts on debt:
 
 
 
 
 
Gain (loss) on fair value hedging relationships:
 
 
 
 
 
Hedged items
 
—

210

—

(36
)
Derivatives designated as hedging instruments
 
—

(219
)
—

91

Interest accruals on hedging instruments
 
—

266

—

(18
)
Discontinued hedge-related basis adjustments amortization
 
—

15

—

18

 
 
YTD 2020
YTD 2019
(In millions)
 
Interest Income - Mortgage Loans
Interest Expense
Interest Income - Mortgage Loans
Interest Expense
Total amounts of income and expense line items presented in our condensed consolidated statements of comprehensive income in which the effects of fair value hedges are recorded:
 

$45,792


($39,039
)

$51,732


($46,498
)
 
 
 
 
 
 
Interest contracts on mortgage loans held-for-investment:
 
 
 
 
 
Gain (loss) on fair value hedging relationships:
 
 
 
 
 
Hedged items
 
5,442

—

5,691

—

Derivatives designated as hedging instruments
 
(5,315
)
—

(5,609
)
—

Interest accruals on hedging instruments
 
(313
)
—

(4
)
—

Discontinued hedge-related basis adjustments amortization
 
(1,891
)
—

(229
)
—

Interest contracts on debt:
 
 
 
 
 
Gain (loss) on fair value hedging relationships:
 
 
 
 
 
Hedged items
 
—

(258
)
—

(1,141
)
Derivatives designated as hedging instruments
 
—

254

—

1,288

Interest accruals on hedging instruments
 
—

553

—

(230
)
Discontinued hedge-related basis adjustments amortization
 
—

52

—

43
Cumulative Basis Adjustment on Fair Value Hedge [Table Text Block]
The tables below present the hedged item cumulative basis adjustments due to qualifying fair value hedging and the related hedged item carrying amounts by their respective balance sheet line item.
Table 9.4 - Cumulative Basis Adjustments Due to Fair Value Hedging
 
 
September 30, 2020
 
 
Carrying Amount Assets / (Liabilities)
 
Cumulative Amount of Fair Value Hedging Basis Adjustments Included in the Carrying Amount
 
Closed Portfolio Under the Last-of-Layer Method
(In millions)
 
 
Total
Under the Last-of-Layer Method
Discontinued - Hedge Related
 
Total Amount by Amortized Cost Basis
Designated Amount by UPB
Mortgage loans held-for-investment
 

$425,078

 

$6,436


$140


$6,296

 

$367,256


$22,799

Debt
 
(156,871
)
 
(687
)
—

(45
)
 
—

—

 
 
 
 
 
 
 
 
 
 
 
 
December 31, 2019
 
 
Carrying Amount Assets / (Liabilities)
 
Cumulative Amount of Fair Value Hedging Basis Adjustments Included in the Carrying Amount
 
Closed Portfolio Under the Last-of-Layer Method
(In millions)
 
 
Total
Under the Last-of-Layer Method
Discontinued - Hedge Related
 
Total Amount by Amortized Cost Basis
Designated Amount by UPB
Mortgage loans held-for-investment
 

$470,889

 

$2,886


($943
)

$3,829

 

$273,346


$22,747

Debt
 
(122,746
)
 
(668
)
—

(93
)
 
—

—