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Derivative Instruments (Tables)
 12 Months Ended
Dec. 31, 2019
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Notional and Fair Value Position
The following table displays the notional amount and estimated fair value of our asset and liability derivative instruments.
 
 
As of December 31, 2019
 
As of December 31, 2018
 
 
Asset Derivatives
 
Liability Derivatives
 
Asset Derivatives
 
Liability Derivatives
 
 
Notional Amount
 
Estimated Fair Value
 
Notional Amount
 
Estimated Fair Value
 
Notional Amount
 
Estimated Fair Value
 
Notional Amount
 
Estimated Fair Value
 
 
(Dollars in millions)
Risk management derivatives:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Swaps:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Pay-fixed
 
$
41,052

 
$
—

 
$
29,178

 
$
(970
)
 
$
71,416

 
$
438

 
$
21,253

 
$
(740
)
Receive-fixed
 
73,579

 
816

 
26,382

 
(62
)
 
88,799

 
1,113

 
58,399

 
(860
)
Basis
 
273

 
149

 
—

 
—

 
250

 
104

 
624

 
—

Foreign currency
 
229

 
39

 
232

 
(65
)
 
221

 
22

 
223

 
(72
)
Swaptions:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Pay-fixed
 
4,600

 
18

 
6,375

 
(219
)
 
10,375

 
191

 
1,000

 
(4
)
Receive-fixed
 
2,875

 
106

 
4,600

 
(232
)
 
500

 
20

 
7,375

 
(338
)
Futures(1)
 
 
20,507

 
—

 
—

 
—

 
16,631

 
—

 
—

 
—

Total gross risk management derivatives
 
143,115

 
1,128

 
66,767

 
(1,548
)
 
188,192

 
1,888

 
88,874

 
(2,014
)
Accrued interest receivable (payable)
 
—

 
226

 
—

 
(250
)
 
—

 
400

 
—

 
(419
)
Netting adjustment(2)
 
—

 
(1,288
)
 
—

 
1,694

 
—

 
(2,266
)
 
—

 
2,315

Total net risk management derivatives
 
$
143,115

 
$
66

 
$
66,767

 
$
(104
)
 
$
188,192

 
$
22

 
$
88,874

 
$
(118
)
Mortgage commitment derivatives:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage commitments to purchase whole loans
 
$
7,115

 
$
15

 
$
1,787

 
$
(1
)
 
$
4,370

 
$
29

 
$
57

 
$
—

Forward contracts to purchase mortgage-related securities
 
55,531

 
137

 
9,560

 
(28
)
 
40,650

 
349

 
1,045

 
(3
)
Forward contracts to sell mortgage-related securities
 
9,282

 
13

 
109,066

 
(277
)
 
292

 
1

 
70,593

 
(645
)
Total mortgage commitment derivatives
 
71,928

 
165

 
120,413

 
(306
)
 
45,312

 
379

 
71,695

 
(648
)
Credit enhancement derivatives
 
28,432

 
40

 
9,486

 
(25
)
 
33,431

 
57

 
919

 
(11
)
Derivatives at fair value
 
$
243,475

 
$
271

 
$
196,666

 
$
(435
)
 
$
266,935

 
$
458

 
$
161,488

 
$
(777
)

(1) 
Futures have no ascribable fair value since the positions are settled daily.
(2) 
The netting adjustment represents the effect of the legal right to offset under legally enforceable master netting arrangements to settle with the same counterparty on a net basis, including cash collateral posted and received. Cash collateral posted was $1.0 billion and $713 million as of December 31, 2019 and 2018, respectively. Cash collateral received was $635 million and $664 million as of December 31, 2019 and 2018, respectively.
Fair Value Gain (Loss), Net The following table displays, by type of derivative instrument, the fair value gains and losses, net on our derivatives.
 
 
For the Year Ended December 31,
 
 
2019
 
2018
 
2017
 
 
(Dollars in millions)
Risk management derivatives:
 
 
 
 
 
 
Swaps:
 
 
 
 
 
 
Pay-fixed
 
$
(3,964
)
 
$
2,940

 
$
1,296

Receive-fixed
 
3,685

 
(1,834
)
 
(851
)
Basis
 
46

 
(21
)
 
21

Foreign currency
 
24

 
(51
)
 
49

Swaptions:
 
 
 
 
 
 
Pay-fixed
 
(380
)
 
100

 
(161
)
Receive-fixed
 
117

 
(39
)
 
(60
)
Futures
 
273

 
38

 
22

Net contractual interest expense on interest-rate swaps
 
(833
)
 
(1,061
)
 
(889
)
Total risk management derivatives fair value gains (losses), net
 
(1,032
)
 
72

 
(573
)
Mortgage commitment derivatives fair value gains (losses), net
 
(1,043
)
 
324

 
(603
)
Credit enhancement derivatives fair value gains (losses), net
 
(35
)
 
26

 
(9
)
Total derivatives fair value gains (losses), net
 
$
(2,110
)
 
$
422

 
$
(1,185
)