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Derivative and Other Hedging Instruments (Tables)
 12 Months Ended
Dec. 31, 2018
Derivative [Line Items]  
Schedule of Outstanding Derivatives Not Designated as Hedging Instruments
The table below summarizes fair value information about our derivative and other hedging instrument assets/(liabilities) as of December 31, 2018 and 2017 (in millions):
 
 
 
 
December 31,
Derivative and Other Hedging Instruments
 
Balance Sheet Location
 
2018
 
2017
Interest rate swaps
 
Derivative assets, at fair value
 
$
126

 
$
81

Swaptions
 
Derivative assets, at fair value
 
37

 
75

TBA securities
 
Derivative assets, at fair value
 
110

 
30

U.S. Treasury futures - short
 
Derivative assets, at fair value
 
—

 
19

Total derivative assets, at fair value
 
 
 
$
273

 
$
205

 
 
 
 
 
 
 
Interest rate swaps
 
Derivative liabilities, at fair value
 
$
—

 
$
(1
)
TBA securities
 
Derivative liabilities, at fair value
 
(40
)
 
(27
)
U.S. Treasury futures - short
 
Derivative liabilities, at fair value
 
(44
)
 
—

Total derivative liabilities, at fair value
 
 
 
$
(84
)
 
$
(28
)
 
 
 
 
 
 
 
U.S. Treasury securities - long
 
U.S. Treasury securities, at fair value
 
$
46

 
$
—

U.S. Treasury securities - short
 
Obligation to return securities borrowed under reverse repurchase agreements, at fair value
 
(21,431
)
 
(10,467
)
Total U.S. Treasury securities, net at fair value
 
 
 
$
(21,385
)
 
$
(10,467
)
Schedule of Interest Rate Swaption Agreements Outstanding
Swaptions
 
Option
 
Underlying Payer Swap
Current Option Expiration Date
 
Cost Basis
 
Fair Value
 
Average
Months to Current Option
Expiration Date 1
 
Notional
Amount
 
Average Fixed Pay
Rate
 
Average
Receive
Rate
(LIBOR)
 
Average
Term
(Years)
December 31, 2018
 
 
 
 
 
 
 
 
 
 
 
 
 
 
≤ 1 year
 
$
80

 
$
23

 
4
 
$
3,000

 
2.96%
 
3M
 
7.0
> 1 year ≤ 2 years
 
18

 
14

 
18
 
500

 
2.78%
 
3M
 
10.0
Total
 
$
98

 
$
37

 
6
 
$
3,500

 
2.93%
 
3M
 
7.4
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
December 31, 2017
 
 
 
 
 
 
 
 
 
 
 
 
 
 
≤ 1 year
 
$
118

 
$
46

 
7
 
$
5,100

 
2.71%
 
3M
 
8.8
> 1 year ≤ 2 years
 
23

 
16

 
18
 
1,050

 
2.71%
 
3M
 
8.7
> 2 year ≤ 3 years
 
18

 
13

 
30
 
500

 
2.78%
 
3M
 
10.0
Total
 
$
159

 
$
75

 
10
 
$
6,650

 
2.72%
 
3M
 
8.9

________________________________
1.
As of December 31, 2018 and 2017, ≤ 1 year notional amount includes $700 million of Bermudan swaptions where the options may be exercised on predetermined dates up to their final exercise date, which is six months prior to the underlying swaps' maturity date.
U.S. Treasury Securities
 
December 31, 2018
 
December 31, 2017
Maturity
 
Face Amount (Short)
 
Cost Basis 1
 
Fair Value
 
Face Amount (Short)
 
Cost Basis 1
 
Fair Value
5 years
 
$
(703
)
 
$
(706
)
 
$
(713
)
 
$
(288
)
 
$
(286
)
 
$
(283
)
7 years
 
(14,357
)
 
(14,325
)
 
(14,410
)
 
(6,131
)
 
(6,106
)
 
(6,029
)
10 years
 
(6,240
)
 
(6,224
)
 
(6,262
)
 
(4,280
)
 
(4,230
)
 
(4,155
)
Total U.S. Treasury securities
 
$
(21,300
)
 
$
(21,255
)
 
$
(21,385
)
 
$
(10,699
)
 
$
(10,622
)
 
$
(10,467
)
US government securities
U.S. Treasury Securities
 
December 31, 2018
 
December 31, 2017
Maturity
 
Face Amount (Short)
 
Cost Basis 1
 
Fair Value
 
Face Amount (Short)
 
Cost Basis 1
 
Fair Value
5 years
 
$
(703
)
 
$
(706
)
 
$
(713
)
 
$
(288
)
 
$
(286
)
 
$
(283
)
7 years
 
(14,357
)
 
(14,325
)
 
(14,410
)
 
(6,131
)
 
(6,106
)
 
(6,029
)
10 years
 
(6,240
)
 
(6,224
)
 
(6,262
)
 
(4,280
)
 
(4,230
)
 
(4,155
)
Total U.S. Treasury securities
 
$
(21,300
)
 
$
(21,255
)
 
$
(21,385
)
 
$
(10,699
)
 
$
(10,622
)
 
$
(10,467
)
US Government Futures Securities [Table Text Block]
 U.S. Treasury Futures
 
December 31, 2018
 
December 31, 2017
Maturity
 
Notional 
Amount - Long (Short)
 
Cost
Basis
 
Fair
Value
 
Net Carrying Value 1
 
Notional 
Amount - Long (Short)
 
Cost
Basis
 
Fair
Value
 
Net Carrying Value 1
5 years
 
$
—

 
$
—

 
$
—

 
$
—

 
$
(730
)
 
$
(852
)
 
$
(848
)
 
$
4

10 years
 
(1,650
)
 
(1,969
)
 
(2,013
)
 
(44
)
 
(2,180
)
 
(2,718
)
 
(2,703
)
 
15

Total U.S. Treasury futures
 
$
(1,650
)
 
$
(1,969
)
 
$
(2,013
)
 
$
(44
)
 
$
(2,910
)
 
$
(3,570
)
 
$
(3,551
)
 
$
19


________________________________
1.
Net carrying value represents the difference between the fair market value and the cost basis (or the forward price to be paid/(received) for the underlying U.S. Treasury security) of the U.S. Treasury futures contract as of period-end and is reported in derivative assets/(liabilities), at fair value in our consolidated balance sheets.
Summary of Long and Short Position of Derivative Instruments
 
 
December 31, 2018
 
December 31, 2017
TBA Securities by Coupon
 
Notional 
Amount - Long (Short)
 
Cost
Basis
 
Fair
Value
 
Net Carrying Value 1
 
Notional 
Amount - Long (Short)
 
Cost
Basis
 
Fair
Value
 
Net Carrying Value 1
15-Year TBA securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
2.5%
 
$
—

 
$
—

 
$
—

 
$
—

 
$
1,373

 
$
1,372

 
$
1,370

 
$
(2
)
3.0%
 
567

 
557

 
566

 
9

 
3,161

 
3,225

 
3,217

 
(8
)
3.5%
 
1,706

 
1,708

 
1,726

 
18

 
414

 
428

 
428

 
—

4.0%
 
1,350

 
1,370

 
1,381

 
11

 
—

 
—

 
—

 
—

Total 15-Year TBA securities
 
3,623

 
3,635

 
3,673

 
38

 
4,948

 
5,025

 
5,015

 
(10
)
30-Year TBA securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
3.0%
 
1,028

 
981

 
1,003

 
22

 
4,317

 
4,303

 
4,312

 
9

3.5%
 
(2,979
)
 
(2,943
)
 
(2,977
)
 
(34
)
 
3,932

 
4,027

 
4,034

 
7

4.0%
 
3,030

 
3,073

 
3,089

 
16

 
2,338

 
2,449

 
2,446

 
(3
)
≥ 4.5%
 
2,450

 
2,506

 
2,534

 
28

 
(61
)
 
(65
)
 
(65
)
 
—

Total 30-Year TBA securities, net
 
3,529

 
3,617

 
3,649

 
32

 
10,526

 
10,714

 
10,727

 
13

Total TBA securities, net
 
$
7,152

 
$
7,252

 
$
7,322

 
$
70

 
$
15,474

 
$
15,739

 
$
15,742

 
$
3


________________________________
1.
Net carrying value represents the difference between the fair market value and the cost basis (or the forward price to be paid/(received) for the underlying Agency security) of the TBA contract as of period-end and is reported in derivative assets/(liabilities), at fair value in our consolidated balance sheets.
Schedule Of Outstanding Not Designated As Hedging Instruments
The following table summarizes changes in our derivative and other hedge portfolio and their effect on our consolidated statements of comprehensive income for fiscal years 2018, 2017 and 2016 (in millions):
Derivative and Other Hedging Instruments
 
Beginning
Notional Amount
 
Additions
 
Settlement, Termination,
Expiration or
Exercise
 
Ending
Notional Amount
 
 
Gain/(Loss)
on Derivative Instruments and Other Securities, Net 1
Fiscal Year 2018:
 
 
 
 
 
 
 
 
 
 
 
TBA securities, net
 
$
15,474

 
194,534

 
(202,856
)
 
$
7,152

 
 
$
(299
)
Interest rate swaps
 
$
43,700

 
14,350

 
(6,425
)
 
$
51,625

 
 
140

Payer swaptions
 
$
6,650

 
1,250

 
(4,400
)
 
$
3,500

 
 
90

U.S. Treasury securities - short position
 
$
(10,699
)
 
(19,278
)
 
8,632

 
$
(21,345
)
 
 
(161
)
U.S. Treasury securities - long position
 
$
—

 
1,949

 
(1,904
)
 
$
45

 
 
1

U.S. Treasury futures contracts - short position
 
$
(2,910
)
 
(7,859
)
 
9,119

 
$
(1,650
)
 
 
48

 
 
 
 
 
 
 
 
 
 
 
$
(181
)
Fiscal Year 2017:
 
 
 
 
 
 
 
 
 
 
 
TBA securities, net
 
$
10,916

 
237,601

 
(233,043
)
 
$
15,474

 
 
$
330

Interest rate swaps
 
$
37,175

 
14,825

 
(8,300
)
 
$
43,700

 
 
67

Payer swaptions
 
$
1,200

 
6,450

 
(1,000
)
 
$
6,650

 
 
(66
)
U.S. Treasury securities - short position
 
$
(8,061
)
 
(14,030
)
 
11,392

 
$
(10,699
)
 
 
(141
)
U.S. Treasury securities - long position
 
$
189

 
404

 
(593
)
 
$
—

 
 
1

U.S. Treasury futures contracts - short position
 
$
(1,810
)
 
(11,340
)
 
10,240

 
$
(2,910
)
 
 
—

 
 
 
 
 
 
 
 
 
 
 
$
191

Fiscal Year 2016:
 
 
 
 
 
 
 
 
 
 
 
TBA securities, net
 
$
7,295

 
116,439

 
(112,818
)
 
$
10,916

 
 
$
(59
)
Interest rate swaps
 
$
40,525

 
15,650

 
(19,000
)
 
$
37,175

 
 
(397
)
Payer swaptions
 
$
2,150

 
500

 
(1,450
)
 
$
1,200

 
 
(3
)
U.S. Treasury securities - short position
 
$
(1,714
)
 
(9,884
)
 
3,537

 
$
(8,061
)
 
 
7

U.S. Treasury securities - long position
 
$
25

 
961

 
(797
)
 
$
189

 
 
134

U.S. Treasury futures contracts - short position
 
$
(1,860
)
 
(7,840
)
 
7,890

 
$
(1,810
)
 
 
(5
)
 
 
 
 
 
 
 
 
 
 
 
$
(323
)
________________________________
1.
Amounts exclude other miscellaneous gains and losses recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income.
Not Designated as Hedging Instrument [Member]  
Derivative [Line Items]  
Schedule Of Interest Rate Swap Agreement By Remaining Maturity
The following tables summarize certain characteristics of our derivative and other hedging instruments outstanding as of December 31, 2018 and 2017 (dollars in millions):
 
 
December 31, 2018
 
December 31, 2017
Interest Rate Swaps
 
Notional
Amount 1
 
Average
Fixed Pay 
Rate 2
 
Average
Receive
Rate
 
Average
Maturity
(Years)
 
Notional
Amount 1
 
Average
Fixed Pay 
Rate 2
 
Average
Receive
Rate
 
Average
Maturity
(Years)
≤ 3 years
 
$
19,900

 
1.63%
 
2.62%
 
1.3
 
$
21,025

 
1.40%
 
1.46%
 
1.5
> 3 to ≤ 5 years
 
8,425

 
2.06%
 
2.61%
 
4.0
 
6,825

 
1.82%
 
1.43%
 
4.1
> 5 to ≤ 7 years
 
7,875

 
2.66%
 
2.66%
 
6.1
 
5,775

 
2.02%
 
1.44%
 
5.9
> 7 to ≤ 10 years
 
10,550

 
2.36%
 
2.64%
 
8.8
 
6,650

 
2.10%
 
1.42%
 
9.1
> 10 years
 
4,875

 
2.77%
 
2.63%
 
11.6
 
3,425

 
2.49%
 
1.45%
 
12.9
Total
 
$
51,625

 
2.11%
 
2.63%
 
5.0
 
$
43,700

 
1.74%
 
1.44%
 
4.5