XML 55 R44.htm IDEA: XBRL DOCUMENT v3.20.2
Derivative and Other Hedging Instruments (TBA Securities by Coupon and Issuer) (Details) - TBA and Forward Settling Agency Securities [Member] - USD ($)
$ in Millions
Jun. 30, 2020
Mar. 31, 2020
Dec. 31, 2019
Jun. 30, 2019
Mar. 31, 2019
Dec. 31, 2018
Derivative [Line Items]            
Derivative, Notional Amount $ 19,760 $ 20,279 $ 7,322 $ 11,043 $ 6,822 $ 7,152
Cost Basis 20,413   7,404      
Net long TBA position, at fair value (20,543)   (7,429)      
TBA, net carrying value 130   25      
30 Year Maturity [Member]            
Derivative [Line Items]            
Derivative, Notional Amount 12,389   5,142      
Cost Basis 12,812   5,182      
Net long TBA position, at fair value (12,907)   (5,203)      
TBA, net carrying value 95   21      
30 Year Maturity [Member] | 2.5% Coupon [Member]            
Derivative [Line Items]            
Derivative, Notional Amount 10,758   0      
Cost Basis 11,091   0      
Net long TBA position, at fair value (11,187)   0      
TBA, net carrying value 96   0      
30 Year Maturity [Member] | 3.0% Coupon [Member]            
Derivative [Line Items]            
Derivative, Notional Amount 908   5,008      
Cost Basis 951   5,052      
Net long TBA position, at fair value (955)   (5,073)      
TBA, net carrying value 4   21      
30 Year Maturity [Member] | 3.5% Coupon [Member]            
Derivative [Line Items]            
Derivative, Notional Amount 99   1,226      
Cost Basis 105   1,259      
Net long TBA position, at fair value (104)   (1,261)      
TBA, net carrying value (1)   2      
30 Year Maturity [Member] | 4.0% Coupon [Member]            
Derivative [Line Items]            
Derivative, Notional Amount 624          
Cost Basis 665   1,565      
Net long TBA position, at fair value (661)   (1,568)      
TBA, net carrying value (4)   (3)      
30 Year Maturity [Member] | 4.5% Coupon [Member]            
Derivative [Line Items]            
Derivative, Notional Amount 0   415      
Cost Basis 0   436      
Net long TBA position, at fair value 0   (437)      
TBA, net carrying value 0   1      
30 Year Maturity [Member] | Short [Member] | 4.0% Coupon [Member]            
Derivative [Line Items]            
Derivative, Notional Amount     1,507      
15 Year Maturity [Member]            
Derivative [Line Items]            
Derivative, Notional Amount 7,371   2,180      
Cost Basis 7,601   2,222      
Net long TBA position, at fair value (7,636)   (2,226)      
TBA, net carrying value 35   4      
15 Year Maturity [Member] | 2.5% Coupon [Member]            
Derivative [Line Items]            
Derivative, Notional Amount 7,296   805      
Cost Basis 7,522   811      
Net long TBA position, at fair value (7,557)   (812)      
TBA, net carrying value 35   1      
15 Year Maturity [Member] | 3.0% Coupon [Member]            
Derivative [Line Items]            
Derivative, Notional Amount 75   1,059      
Cost Basis     1,083      
Net long TBA position, at fair value (79)   (1,086)      
TBA, net carrying value 0   3      
15 Year Maturity [Member] | 3.5% Coupon [Member]            
Derivative [Line Items]            
Derivative, Notional Amount 0   241      
Cost Basis 0   250      
Net long TBA position, at fair value 0   (250)      
TBA, net carrying value 0   0      
15 Year Maturity [Member] | 4.0% Coupon [Member]            
Derivative [Line Items]            
Derivative, Notional Amount 0   75      
Cost Basis 0   78      
Net long TBA position, at fair value 0   (78)      
TBA, net carrying value 0   $ 0      
15 Year Maturity [Member] | Short [Member] | 3.0% Coupon [Member]            
Derivative [Line Items]            
Cost Basis $ 79