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Derivative and Other Hedging Instruments (Tables)

6 Months Ended

Jun. 30, 2020

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)	June 30, 2020		December 31, 2019
OIS	79	%	86	%
SOFR	16	%	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 June 30, 2020 and December 31, 2019 (in millions):


Derivative and Other Hedging Instruments	Balance Sheet Location	June 30, 2020		December 31, 2019
Interest rate swaps	Derivative assets, at fair value	$	—	$	21
Swaptions	Derivative assets, at fair value	6		126
TBA securities	Derivative assets, at fair value	130		29
U.S. Treasury futures - short	Derivative assets, at fair value	—		14
Other	Derivative assets, at fair value	4		—
Total derivative assets, at fair value		$	140	$	190

Interest rate swaps	Derivative liabilities, at fair value	$	—	$	(2)
TBA securities	Derivative liabilities, at fair value	—		(4)
U.S. Treasury futures - short	Derivative liabilities, at fair value	(3)		—
Total derivative liabilities, at fair value		$	(3)	$	(6)

U.S. Treasury securities - long	U.S. Treasury securities, at fair value	$	1,181	$	97
U.S. Treasury securities - short	Obligation to return securities borrowed under reverse repurchase agreements, at fair value	(7,929)		(9,543)
Total U.S. Treasury securities, net at fair value		$	(6,748)	$	(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 ²	Average Term (Years)
June 30, 2020
≤ 1 year	$	150	$	2	6	$	7,850	2.29%	9.4
> 1 year ≤ 2 years	25		4		16	1,500		1.85%	10.0
Total	$	175	$	6	7	$	9,350	2.22%	9.5

December 31, 2019
≤ 1 year	$	123	$	80	8	$	5,650	2.26%	9.3
> 1 year ≤ 2 years	53		46		16	3,200		2.50%	10.0
Total	$	176	$	126	11	$	8,850	2.34%	9.5

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1.As of June 30, 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.

2.As of June 30, 2020, 79% and 21% of the underlying swap receive rates were tied to 3-Month LIBOR and SOFR, respectively, and, as of December 31, 2019, 100% of the underlying payer swap receive rates were tied to 3-Month LIBOR.

US government securities


U.S. Treasury Securities	June 30, 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	$	(477)	$	(444)	$	(434)	$	95	$	95	$	97
7 years	(1,008)		(1,007)		(1,020)		—		—		—
10 years	(4,630)		(4,816)		(5,294)		(9,224)		(9,329)		(9,543)
Total U.S. Treasury securities	$	(6,115)	$	(6,267)	$	(6,748)	$	(9,129)	$	(9,234)	$	(9,446)

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1.As of June 30, 2020 and December 31, 2019, short U.S. Treasury securities had a weighted average yield of 1.33% and 2.19%, respectively, and long U.S. Treasury securities had a weighted average yield of 0.61% and 2.21%, respectively.

US Government Futures Securities [Table Text Block]


U.S. Treasury Futures	June 30, 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)	$	(1,389)	$	(1,392)	$	(3)	$	(1,000)	$	(1,298)	$	(1,284)	$	14

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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


	June 30, 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%	$	7,296	$	7,522	$	7,557	$	35	$	805	$	811	$	812	$	1
3.0%	75		79		79		—		1,059		1,083		1,086		3
3.5%	—		—		—		—		241		250		250		—
4.0%	—		—		—		—		75		78		78		—
Total 15-Year TBA securities	7,371		7,601		7,636		35		2,180		2,222		2,226		4
30-Year TBA securities:
≤ 2.5%	10,758		11,091		11,187		96		—		—		—		—
3.0%	908		951		955		4		5,008		5,052		5,073		21
3.5%	99		105		104		(1)		1,226		1,259		1,261		2
4.0%	624		665		661		(4)		(1,507)		(1,565)		(1,568)		(3)
≥ 4.5%	—		—		—		—		415		436		437		1
Total 30-Year TBA securities, net	12,389		12,812		12,907		95		5,142		5,182		5,203		21
Total TBA securities, net	$	19,760	$	20,413	$	20,543	$	130	$	7,322	$	7,404	$	7,429	$	25

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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 and six months ended June 30, 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 June 30, 2020:
TBA securities, net	$	20,279	75,186	(75,705)	$	19,760	$	220
Interest rate swaps - payer	$	46,475	25,750	(30,150)	$	42,075	(379)
Payer swaptions	$	9,550	—	(200)	$	9,350	(14)
U.S. Treasury securities - short position	$	(4,245)	(4,187)	1,185	$	(7,247)	(60)
U.S. Treasury securities - long position	$	3,569	550	(2,987)	$	1,132	4
U.S. Treasury futures contracts - short position	$	(1,000)	(1,000)	1,000	$	(1,000)	(8)
							$	(237)
Three months ended June 30, 2019:
TBA securities, net	$	6,822	27,859	(23,638)	$	11,043	$	163
Interest rate swaps	$	48,175	65,000	(38,225)	$	74,950	(1,019)
Payer swaptions	$	2,550	2,650	(800)	$	4,400	(25)
U.S. Treasury securities - short position	$	(18,735)	(2,536)	14,026	$	(7,245)	(505)
U.S. Treasury securities - long position	$	120	1,018	(4)	$	1,134	6
U.S. Treasury futures contracts - short position	$	(1,650)	(1,650)	1,650	$	(1,650)	(57)
							$	(1,437)


Six months ended June 30, 2020:
TBA securities, net	$	7,322	112,936	(100,498)	$	19,760	$	913
Interest rate swaps - payer	$	79,075	75,725	(112,725)	$	42,075	(3,174)
Payer swaptions	$	8,850	2,000	(1,500)	$	9,350	(148)
U.S. Treasury securities - short position	$	(9,224)	(10,232)	12,209	$	(7,247)	(997)
U.S. Treasury securities - long position	$	95	7,011	(5,974)	$	1,132	101
U.S. Treasury futures contracts - short position	$	(1,000)	(2,000)	2,000	$	(1,000)	(112)
							$	(3,417)
Six months ended June 30, 2019:
TBA securities, net	$	7,152	46,301	(42,410)	$	11,043	$	246
Interest rate swaps	$	51,625	70,350	(47,025)	$	74,950	(1,615)
Payer swaptions	$	3,500	2,650	(1,750)	$	4,400	(52)
U.S. Treasury securities - short position	$	(21,345)	(7,306)	21,406	$	(7,245)	(930)
U.S. Treasury securities - long position	$	45	1,423	(334)	$	1,134	6
U.S. Treasury futures contracts - short position	$	(1,650)	(3,300)	3,300	$	(1,650)	(88)
							$	(2,433)

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1.Amounts exclude $146 million of losses on debt extinguishment for the three and six months ended June 30, 2020 (see Note 5) and other miscellaneous gains and losses for all periods presented 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 June 30, 2020 and December 31, 2019 (dollars in millions):


	June 30, 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	$	8,500	0.24%	0.21%	2.4	$	59,700	1.30%	1.58%	1.6
> 3 to ≤ 5 years	16,500		0.20%	0.08%	4.3	9,850		1.17%	1.55%	3.8
> 5 to ≤ 7 years	12,950		0.56%	0.14%	6.2	5,650		1.34%	1.70%	6.4
> 7 to ≤ 10 years	3,150		0.78%	0.08%	8.6	2,850		1.36%	1.58%	8.9
> 10 years	975		1.30%	0.16%	15.7	1,025		1.64%	1.78%	15.4
Total	$	42,075	0.39%	0.13%	5.1	$	79,075	1.29%	1.59%	2.7