Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2020

Fair Value Disclosures [Abstract]

Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis

The following table provides a summary of our assets and liabilities that are measured at fair value on a recurring basis, as of June 30, 2020 and December 31, 2019, based on their categorization within the valuation hierarchy (in millions). There were no transfers between valuation hierarchy levels during the periods presented.

	June 30, 2020						December 31, 2019
	Level 1		Level 2		Level 3		Level 1		Level 2		Level 3
Assets:
Agency securities	$	—	$	75,488	$	—	$	—	$	98,516	$	—
Agency securities transferred to consolidated VIEs	—		344		—		—		371		—
Credit risk transfer securities	—		712		—		—		976		—
Non-Agency securities	—		599		—		—		579		—
U.S. Treasury securities	1,181		—		—		97		—		—
Interest rate swaps	—		—		—		—		21		—
Swaptions	—		6		—		—		126		—
TBA securities	—		130		—		—		29		—
U.S. Treasury futures	—		—		—		14		—		—
Other	—		4		—		—		—		—
Total	$	1,181	$	77,283	$	—	$	111	$	100,618	$	—
Liabilities:
Debt of consolidated VIEs	$	—	$	204	$	—	$	—	$	228	$	—
Obligation to return U.S. Treasury securities borrowed under reverse repurchase agreements	7,929		—		—		9,543		—		—
Interest rate swaps	—		—		—		—		2		—
TBA securities	—		—		—		—		4		—
U.S. Treasury futures	3		—		—		—		—		—
Total	$	7,932	$	204	$	—	$	9,543	$	234	$	—