XML 61 R45.htm IDEA: XBRL DOCUMENT v3.22.4
Derivative and Other Hedging Instruments (TBA Securities by Coupon and Issuer) (Details) - USD ($)
$ in Millions
Dec. 31, 2022
Dec. 31, 2021
Dec. 31, 2020
Dec. 31, 2019
TBA and Forward Settling Agency Securities [Member]        
Derivative [Line Items]        
Derivative, Notional Amount $ 19,050.0 $ 26,673.0 $ 30,364.0 $ 7,322.0
Cost Basis 18,407.0 27,184.0    
Net long TBA position, at fair value 18,574.0 27,140.0    
TBA, net carrying value 167.0 (44.0)    
Forward Settling non-Agency Securities        
Derivative [Line Items]        
Derivative, Notional Amount 0.0 450.0 $ 0.0  
Net long TBA position, at fair value   400.0    
TBA, net carrying value   0.2    
30 Year Maturity [Member] | TBA and Forward Settling Agency Securities [Member]        
Derivative [Line Items]        
Derivative, Notional Amount 19,050.0 24,634.0    
Cost Basis 18,407.0 25,128.0    
Net long TBA position, at fair value 18,574.0 25,081.0    
TBA, net carrying value 167.0 (47.0)    
30 Year Maturity [Member] | 2.5% Coupon [Member] | TBA and Forward Settling Agency Securities [Member]        
Derivative [Line Items]        
Derivative, Notional Amount 737.0 20,494.0    
Cost Basis 626.0 20,825.0    
Net long TBA position, at fair value 619.0 20,788.0    
TBA, net carrying value (7.0) (37.0)    
30 Year Maturity [Member] | 4.5% Coupon [Member] | TBA and Forward Settling Agency Securities [Member]        
Derivative [Line Items]        
Derivative, Notional Amount 16,457.0 0.0    
Cost Basis 16,100.0 0.0    
Net long TBA position, at fair value 16,276.0 0.0    
TBA, net carrying value 176.0 0.0    
30 Year Maturity [Member] | 3.0% - 4.0% Coupons | TBA and Forward Settling Agency Securities [Member]        
Derivative [Line Items]        
Derivative, Notional Amount 1,856.0 4,140.0    
Cost Basis 1,681.0 4,303.0    
Net long TBA position, at fair value 1,679.0 4,293.0    
TBA, net carrying value (2.0) (10.0)    
15 Year Maturity [Member] | TBA and Forward Settling Agency Securities [Member]        
Derivative [Line Items]        
Derivative, Notional Amount 0.0 2,039.0    
Cost Basis 0.0 2,056.0    
Net long TBA position, at fair value 0.0 2,059.0    
TBA, net carrying value 0.0 3.0    
15 Year Maturity [Member] | 2.5% Coupon [Member] | TBA and Forward Settling Agency Securities [Member]        
Derivative [Line Items]        
Derivative, Notional Amount 0.0 2,039.0    
Cost Basis 0.0 2,056.0    
Net long TBA position, at fair value 0.0 2,059.0    
TBA, net carrying value $ 0.0 $ 3.0