Fair Value Measurements (Tables)

12 Months Ended

Dec. 31, 2022

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 December 31, 2022 and 2021, based on their categorization within the valuation hierarchy (in millions). There were no transfers between valuation hierarchy levels during the periods presented in our accompanying consolidated statements of comprehensive income.


	December 31, 2022						December 31, 2021
	Level 1		Level 2		Level 3		Level 1		Level 2		Level 3
Assets:
Agency securities	$	—	$	39,346	$	—	$	—	$	52,396	$	—
Agency securities transferred to consolidated VIEs	—		144		—		—		208		—
Credit risk transfer securities	—		757		—		—		974		—
Non-Agency securities	—		657		—		—		843		—
U.S. Treasury securities	353		—		—		471		—		—
Interest rate swaps 1	—		2		—		—		—		—
Swaptions	—		293		—		—		290		—
TBA and forward settling securities	—		266		—		—		27		—
U.S. Treasury futures	56		—		—		—		—		—
Total	$	409	$	41,465	$	—	$	471	$	54,738	$	—
Liabilities:
Debt of consolidated VIEs	$	—	$	95	$	—	$	—	$	126	$	—
Obligation to return U.S. Treasury securities borrowed under reverse repurchase agreements	6,534		—		—		9,697		—		—

Credit default swaps 1	—		—		—		—		—		—
TBA and forward settling securities	—		99		—		—		71		—
U.S. Treasury futures	—		—		—		15		—		—
Total	$	6,534	$	194	$	—	$	9,712	$	197	$	—

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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 was a net asset (liability) of $4.5 billion and $1.6 billion, respectively, based on "Level 2" inputs. As of December 31, 2022, the net fair value of our credit default swaps excluding the recognition of variation margin settlements was $(2) million based on "Level 2" inputs. We did not have credit default swaps outstanding as of December 31, 2021. See Notes 2 and 5 for additional details.