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Derivative and Other Hedging Instruments (Tables)
 3 Months Ended
Mar. 31, 2020
Derivative [Line Items]  
Schedule of Interest Rate Swap Agreement by Receive Index (as a percentage of Notional Amount) [Table Text Block]
Pay Fixed / Receive Variable Interest Rate Swaps by Receive Index (% of Notional Amount)
 
March 31, 2020
 
December 31, 2019
OIS
 
69
%
 
86
%
SOFR
 
26
%
 
3
%
3M LIBOR
 
5
%
 
11
%
Total
 
100
%
 
100
%
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 March 31, 2020 and December 31, 2019 (in millions):
Derivative and Other Hedging Instruments
 
Balance Sheet Location
 
March 31, 2020
 
December 31, 2019
Interest rate swaps
 
Derivative assets, at fair value
 
$
—

 
$
21

Swaptions
 
Derivative assets, at fair value
 
21

 
126

TBA securities
 
Derivative assets, at fair value
 
643

 
29

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

 
14

Total derivative assets, at fair value
 
 
 
$
664

 
$
190

 
 
 
 
 
 
 
Interest rate swaps
 
Derivative liabilities, at fair value
 
$
—

 
$
(2
)
TBA securities
 
Derivative liabilities, at fair value
 
(69
)
 
(4
)
U.S. Treasury futures - short
 
Derivative liabilities, at fair value
 
(69
)
 
—

Total derivative liabilities, at fair value
 
 
 
$
(138
)
 
$
(6
)
 
 
 
 
 
 
 
U.S. Treasury securities - long
 
U.S. Treasury securities, at fair value
 
$
3,721

 
$
97

U.S. Treasury securities - short
 
Obligation to return securities borrowed under reverse repurchase agreements, at fair value
 
(4,886
)
 
(9,543
)
Total U.S. Treasury securities, net at fair value
 
 
 
$
(1,165
)
 
$
(9,446
)
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)
March 31, 2020
 
 
 
 
 
 
 
 
 
 
 
 
 
 
≤ 1 year
 
$
132

 
$
11

 
7
 
$
6,350

 
2.14%
 
3M
 
9.3
> 1 year ≤ 2 years
 
50

 
10

 
16
 
3,200

 
2.41%
 
3M
 
10.0
Total
 
$
182

 
$
21

 
10
 
$
9,550

 
2.23%
 
3M
 
9.5
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
December 31, 2019
 
 
 
 
 
 
 
 
 
 
 
 
 
 
≤ 1 year
 
$
123

 
$
80

 
8
 
$
5,650

 
2.26%
 
3M
 
9.3
> 1 year ≤ 2 years
 
53

 
46

 
16
 
3,200

 
2.50%
 
3M
 
10.0
Total
 
$
176

 
$
126

 
11
 
$
8,850

 
2.34%
 
3M
 
9.5
________________________________
1.
As of March 31, 2020 and December 31, 2019, ≤ 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
 
March 31, 2020
 
December 31, 2019
Maturity
 
Face Amount Long/(Short)
 
Cost Basis 1
 
Fair Value
 
Face Amount Long/(Short)
 
Cost Basis 1
 
Fair Value
5 years
 
$
3,133

 
$
3,218

 
$
3,252

 
$
95

 
$
95

 
$
97

7 years
 
(250
)
 
(252
)
 
(260
)
 
—

 
—

 
—

10 years
 
(3,559
)
 
(3,653
)
 
(4,157
)
 
(9,224
)
 
(9,329
)
 
(9,543
)
Total U.S. Treasury securities
 
$
(676
)
 
$
(687
)
 
$
(1,165
)
 
$
(9,129
)
 
$
(9,234
)
 
$
(9,446
)
US government securities
U.S. Treasury Securities
 
March 31, 2020
 
December 31, 2019
Maturity
 
Face Amount Long/(Short)
 
Cost Basis 1
 
Fair Value
 
Face Amount Long/(Short)
 
Cost Basis 1
 
Fair Value
5 years
 
$
3,133

 
$
3,218

 
$
3,252

 
$
95

 
$
95

 
$
97

7 years
 
(250
)
 
(252
)
 
(260
)
 
—

 
—

 
—

10 years
 
(3,559
)
 
(3,653
)
 
(4,157
)
 
(9,224
)
 
(9,329
)
 
(9,543
)
Total U.S. Treasury securities
 
$
(676
)
 
$
(687
)
 
$
(1,165
)
 
$
(9,129
)
 
$
(9,234
)
 
$
(9,446
)

________________________________
1.
As of March 31, 2020 and December 31, 2019, short U.S. Treasury securities had a weighted average yield of 2.07% and 2.19%, respectively, and long U.S. Treasury securities had a weighted average yield of 0.62% and 2.21%, respectively.
US Government Futures Securities [Table Text Block]
 U.S. Treasury Futures
 
March 31, 2020
 
December 31, 2019
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
10 years
 
$
(1,000
)
 
$
(1,318
)
 
$
(1,387
)
 
$
(69
)
 
$
(1,000
)
 
$
(1,298
)
 
$
(1,284
)
 
$
14


________________________________
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
 
 
March 31, 2020
 
December 31, 2019
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%
 
$
100

 
$
92

 
$
104

 
$
12

 
$
805

 
$
811

 
$
812

 
$
1

3.0%
 
—

 
(4
)
 
—

 
4

 
1,059

 
1,083

 
1,086

 
3

3.5%
 
—

 
—

 
—

 
—

 
241

 
250

 
250

 
—

4.0%
 
—

 
—

 
—

 
—

 
75

 
78

 
78

 
—

Total 15-Year TBA securities
 
100

 
88

 
104

 
16

 
2,180

 
2,222

 
2,226

 
4

30-Year TBA securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
≤ 2.5%
 
5,786

 
5,884

 
5,974

 
90

 
—

 
—

 
—

 
—

3.0%
 
9,072

 
9,191

 
9,502

 
311

 
5,008

 
5,052

 
5,073

 
21

3.5%
 
3,366

 
3,451

 
3,556

 
105

 
1,226

 
1,259

 
1,261

 
2

4.0%
 
1,955

 
2,034

 
2,086

 
52

 
(1,507
)
 
(1,565
)
 
(1,568
)
 
(3
)
≥ 4.5%
 
—

 
—

 
—

 
—

 
415

 
436

 
437

 
1

Total 30-Year TBA securities, net
 
20,179

 
20,560

 
21,118

 
558

 
5,142

 
5,182

 
5,203

 
21

Total TBA securities, net
 
$
20,279

 
$
20,648

 
$
21,222

 
$
574

 
$
7,322

 
$
7,404

 
$
7,429

 
$
25


________________________________
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 the three months ended March 31, 2020 and 2019 (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
Three months ended March 31, 2020:
 
 
 
 
 
 
 
 
 
 
 
TBA securities, net
 
$
7,322

 
37,750

 
(24,793
)
 
$
20,279

 
 
$
693

Interest rate swaps - payer
 
$
79,075

 
49,975

 
(82,575
)
 
$
46,475

 
 
(2,795
)
Payer swaptions
 
$
8,850

 
2,000

 
(1,300
)
 
$
9,550

 
 
(134
)
U.S. Treasury securities - short position
 
$
(9,224
)
 
(6,045
)
 
11,024

 
$
(4,245
)
 
 
(937
)
U.S. Treasury securities - long position
 
$
95

 
6,461

 
(2,987
)
 
$
3,569

 
 
97

U.S. Treasury futures contracts - short position
 
$
(1,000
)
 
(1,000
)
 
1,000

 
$
(1,000
)
 
 
(104
)
 
 
 
 
 
 
 
 
 
 
 
$
(3,180
)
Three months ended March 31, 2019:
 
 
 
 
 
 
 
 
 
 
 
TBA securities, net
 
$
7,152

 
18,442

 
(18,772
)
 
$
6,822

 
 
$
83

Interest rate swaps
 
$
51,625

 
5,350

 
(8,800
)
 
$
48,175

 
 
(596
)
Payer swaptions
 
$
3,500

 
—

 
(950
)
 
$
2,550

 
 
(27
)
U.S. Treasury securities - short position
 
$
(21,345
)
 
(4,770
)
 
7,380

 
$
(18,735
)
 
 
(425
)
U.S. Treasury securities - long position
 
$
45

 
405

 
(330
)
 
$
120

 
 
—

U.S. Treasury futures contracts - short position
 
$
(1,650
)
 
(1,650
)
 
1,650

 
$
(1,650
)
 
 
(31
)
 
 
 
 
 
 
 
 
 
 
 
$
(996
)
________________________________
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 March 31, 2020 and December 31, 2019 (dollars in millions):
 
 
March 31, 2020
 
December 31, 2019
Pay Fixed / Receive Variable Interest Rate Swaps
 
Notional
Amount
 
Average
Fixed Pay 
Rate
 
Average
Receive
Rate
 
Average
Maturity
(Years)
 
Notional
Amount
 
Average
Fixed Pay 
Rate
 
Average
Receive
Rate
 
Average
Maturity
(Years)
≤ 3 years
 
$
16,650

 
0.86%
 
0.21%
 
2.5
 
$
59,700

 
1.30%
 
1.58%
 
1.6
> 3 to ≤ 5 years
 
17,350

 
0.91%
 
0.06%
 
4.1
 
9,850

 
1.17%
 
1.55%
 
3.8
> 5 to ≤ 7 years
 
7,600

 
1.08%
 
0.21%
 
6.1
 
5,650

 
1.34%
 
1.70%
 
6.4
> 7 to ≤ 10 years
 
3,900

 
1.05%
 
0.08%
 
9.1
 
2,850

 
1.36%
 
1.58%
 
8.9
> 10 years
 
975

 
1.30%
 
0.45%
 
16.0
 
1,025

 
1.64%
 
1.78%
 
15.4
Total
 
$
46,475

 
0.94%
 
0.15%
 
4.5
 
$
79,075

 
1.29%
 
1.59%
 
2.7

Pay Fixed / Receive Variable Interest Rate Swaps by Receive Index (% of Notional Amount)
 
March 31, 2020
 
December 31, 2019
OIS
 
69
%
 
86
%
SOFR
 
26
%
 
3
%
3M LIBOR
 
5
%
 
11
%
Total
 
100
%
 
100
%