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Derivative and Other Hedging Instruments
 12 Months Ended
Dec. 31, 2022
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
US Government Futures Securities [Table Text Block]
 U.S. Treasury FuturesDecember 31, 2022December 31, 2021
MaturityNotional 
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$(8,399)$(9,533)$(9,485)$48 $(1,500)$(1,942)$(1,957)$(15)
20 years(814)(1,028)(1,020)8 — — — — 
Total U.S. Treasury futures$(9,213)$(10,561)$(10,505)$56 $(1,500)$(1,942)$(1,957)$(15)
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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.
Derivative and Other Hedging Instruments Derivative and Other Hedging InstrumentsFor the periods presented, our interest rate based hedges primarily consisted of interest rate swaps, interest rate swaptions, U.S. Treasury securities and U.S. Treasury futures contracts. We also utilized forward contracts, primarily consisting of TBA securities, for the purchase and sale of investment securities. For additional information regarding our derivative instruments and our overall risk management strategy, please refer to the discussion of derivative and other hedging instruments in Note 2.
Derivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
The table below summarizes fair value information about our derivative and other hedging instrument assets/(liabilities) as of December 31, 2022 and 2021 (in millions):
December 31,
Derivative and Other Hedging InstrumentsBalance Sheet Location
 
2022
 
2021
Interest rate swaps 1
Derivative assets, at fair value$2 $— 
SwaptionsDerivative assets, at fair value293 290 
TBA and forward settling non-Agency securitiesDerivative assets, at fair value266 27 
U.S. Treasury futures - shortDerivative assets, at fair value56 — 
Total derivative assets, at fair value
$617 $317 
TBA and forward settling non-Agency securitiesDerivative liabilities, at fair value(99)(71)
U.S. Treasury futures - shortDerivative liabilities, at fair value— (15)
Credit default swaps 1
Derivative liabilities, at fair value— — 
Total derivative liabilities, at fair value
$(99)$(86)
U.S. Treasury securities - longU.S. Treasury securities, at fair value$353 $471 
U.S. Treasury securities - shortObligation to return securities borrowed under reverse repurchase agreements, at fair value(6,534)(9,697)
Total U.S. Treasury securities, net at fair value
$(6,181)$(9,226)
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1.As of December 31, 2022 and 2021, the net fair value of our interest rate swaps excluding the recognition of variation margin settlements as a direct reduction of carrying value (see Note 2) was a net asset (liability) of $4.5 billion and $1.6 billion, respectively. As of December 31, 2022, the net fair value of our credit default swaps excluding the recognition of variation margin settlements was $(2) million. We did not have credit default swaps outstanding as of December 31, 2021.
The following tables summarize certain characteristics of our derivative and other hedging instruments outstanding as of December 31, 2022 and 2021 (dollars in millions):
 December 31, 2022December 31, 2021
Pay Fixed / Receive Variable Interest Rate SwapsNotional
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$27,500 0.12%4.31%1.6$22,500 0.10%0.05%2.0
> 3 to ≤ 5 years10,550 0.22%4.31%3.816,800 0.22%0.06%4.0
> 5 to ≤ 7 years5,625 0.85%4.30%6.16,050 0.29%0.05%6.0
> 7 to ≤ 10 years3,650 1.60%4.31%8.44,400 0.46%0.05%8.5
> 10 years500 3.54%4.30%10.01,475 0.47%0.05%13.2
Total $47,825 0.37%4.31%3.2$51,225 0.20%0.05%4.0

December 31,
Pay Fixed / Receive Variable Interest Rate Swaps by Receive Index (% of Notional Amount)
 
2022
 
2021
SOFR81 %75 %
OIS19 %25 %
Total 100 %100 %
Payer SwaptionsOptionUnderlying Payer Swap
Current Option Expiration DateCost BasisFair Value
Average
Months to Current Option
Expiration Date 1
Notional
Amount
Average Fixed Pay
Rate 2
Average
Term
(Years)
December 31, 2022
≤ 1 year$26 $145 6$1,300 2.04%9.4
> 1 year ≤ 2 years39 148 181,750 2.52%10.0
Total $65 $293 13$3,050 2.32%9.8
December 31, 2021
≤ 1 year$101 $64 6$3,800 1.81%8.5
> 1 year ≤ 2 years128 147 205,150 1.69%10.0
> 2 year ≤ 3 years99 79 284,050 2.35%10.0
Total $328 $290 18$13,000 1.93%9.6
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1.As of December 31, 2021, ≤ 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 December 31, 2022, 100% of the underlying swap receive rates were tied to SOFR. As of December 31, 2021, 95% and 5% of the underlying swap receive rates were tied to SOFR and 3-Month LIBOR, respectively.

U.S. Treasury Securities 1
December 31, 2022December 31, 2021
MaturityFace Amount Long/(Short)Cost BasisFair ValueFace Amount Long/(Short)Cost BasisFair Value
5 years$356 $354 $353 $(310)$(306)$(293)
7 years(545)(545)(473)(1,218)(1,218)(1,206)
10 years(5,732)(5,427)(5,008)(7,590)(7,593)(7,727)
20 years(1,095)(1,048)(1,053)— — — 
Total U.S. Treasury securities$(7,016)$(6,666)$(6,181)$(9,118)$(9,117)$(9,226)
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1.As of December 31, 2022 and 2021, short U.S. Treasury securities totaling $(6.5) billion and $(9.7) billion, at fair value, respectively, had a weighted average yield of 2.80% and 1.56%, respectively. As of December 31, 2022 and 2021, long U.S. Treasury securities totaling $0.4 billion and $0.5 billion, at fair value, respectively, had a weighted average yield of 3.86% and 1.18%, respectively.


 U.S. Treasury FuturesDecember 31, 2022December 31, 2021
MaturityNotional 
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$(8,399)$(9,533)$(9,485)$48 $(1,500)$(1,942)$(1,957)$(15)
20 years(814)(1,028)(1,020)8 — — — — 
Total U.S. Treasury futures$(9,213)$(10,561)$(10,505)$56 $(1,500)$(1,942)$(1,957)$(15)
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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.
 December 31, 2022December 31, 2021
TBA Securities by Coupon 2
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%$— $— $— $— $2,039 $2,056 $2,059 $3 
Total 15-Year TBA securities— — — — 2,039 2,056 2,059 3 
30-Year TBA securities:
≤ 2.5%737 626 619 (7)20,494 20,825 20,788 (37)
3.0% - 4.0%1,856 1,681 1,679 (2)4,140 4,303 4,293 (10)
≥ 4.5%
16,457 16,100 16,276 176 — — — — 
Total 30-Year TBA securities, net19,050 18,407 18,574 167 24,634 25,128 25,081 (47)
Total TBA securities, net$19,050 $18,407 $18,574 $167 $26,673 $27,184 $27,140 $(44)
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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.
2.Table excludes forward settling non-Agency securities totaling $0.4 billion (fair value) and $0.2 million (net carrying value) as of December 31, 2021.

As of December 31, 2022, we had $215 million notional value of centrally cleared credit default swaps ("CDS") outstanding that reference the Markit CDX Investment Grade Index, maturing in June 2027. Under the terms of our CDS, we pay fixed periodic payments equal to 1% per annum of the notional value and we are entitled to receive payments for qualified credit events. As of December 31, 2022, the CDS had a market value of $(2) million, and a carrying value of zero dollars, net of variation margin settlements. Pursuant to rules governing central clearing activities, we recognize variation margin settlements as a direct reduction of the carrying value of the CDS asset or liability.

Gain (Loss) From Derivative Instruments and Other Securities, Net
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 2022, 2021 and 2020 (in millions):
Derivative and Other Hedging InstrumentsBeginning
Notional Amount 		AdditionsSettlement, Termination,
Expiration or
Exercise		Ending
Notional Amount
Gain/(Loss)
on Derivative Instruments and Other Securities, Net 1
Fiscal Year 2022:
TBA securities, net$26,673 312,307 (319,930)$19,050 $(2,860)
Forward settling non-Agency securities$450 — (450)$— — 
Interest rate swaps - payer$51,225 5,895 (9,295)$47,825 4,400 
Credit default swaps - CDX IG - buy protection$— (5,835)5,620 $(215)21 
Payer swaptions$13,000 1,750 (11,700)$3,050 857 
Receiver swaptions$— (150)150 $— — 
U.S. Treasury securities - short position$(9,590)(15,548)17,765 $(7,373)1,482 
U.S. Treasury securities - long position$472 10,202 (10,317)$357 (32)
U.S. Treasury futures contracts - short position$(1,500)(37,493)29,780 $(9,213)811 
$4,679 
Fiscal Year 2021:
TBA securities, net$30,364 352,658 (356,349)$26,673 $(552)
Forward settling non-Agency securities$— 1,800 (1,350)$450 5 
Interest rate swaps - payer$43,225 9,000 (1,000)$51,225 1,117 
Payer swaptions$10,400 8,050 (5,450)$13,000 23 
U.S. Treasury securities - short position$(11,287)(12,691)14,388 $(9,590)444 
U.S. Treasury securities - long position$— 7,618 (7,146)$472 (25)
U.S. Treasury futures contracts - short position$(1,000)(6,000)5,500 $(1,500)42 
$1,054 
Fiscal Year 2020:
TBA securities, net$7,322 286,586 (263,544)$30,364 $1,497 
Interest rate swaps - payer$79,075 101,950 (137,800)$43,225 (2,766)
Payer swaptions$8,850 7,000 (5,450)$10,400 (156)
U.S. Treasury securities - short position$(9,224)(18,912)16,849 $(11,287)(905)
U.S. Treasury securities - long position$95 7,011 (7,106)$— 102 
U.S. Treasury futures contracts - short position$(1,000)(4,000)4,000 $(1,000)(106)
$(2,334)
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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.