Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Notional and Fair Value Position [Table Text Block]

The following table displays the notional amount and estimated fair value of our asset and liability derivative instruments.

	As of March 31, 2020								As of December 31, 2019
	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	$	50,946	$	—	$	29,603	$	(1,930)	$	41,052	$	—	$	29,178	$	(970)
Receive-fixed	94,704		1,151		9,854		(2)		73,579		816		26,382		(62)
Basis	273		205		—		—		273		149		—		—
Foreign currency	215		29		217		(93)		229		39		232		(65)
Swaptions:
Pay-fixed	4,600		7		5,875		(328)		4,600		18		6,375		(219)
Receive-fixed	6,625		619		350		(130)		2,875		106		4,600		(232)
Futures(1)	53,742		—		—		—		20,507		—		—		—
Total gross risk management derivatives	211,105		2,011		45,899		(2,483)		143,115		1,128		66,767		(1,548)
Accrued interest receivable (payable)	—		195		—		(310)		—		226		—		(250)
Netting adjustment(2)	—		(2,137)		—		2,607		—		(1,288)		—		1,694
Total net risk management derivatives	$	211,105	$	69	$	45,899	$	(186)	$	143,115	$	66	$	66,767	$	(104)
Mortgage commitment derivatives:
Mortgage commitments to purchase whole loans	$	31,152	$	413	$	10,452	$	(56)	$	7,115	$	15	$	1,787	$	(1)
Forward contracts to purchase mortgage-related securities	103,770		2,153		10,936		(36)		55,531		137		9,560		(28)
Forward contracts to sell mortgage-related securities	20,070		99		177,213		(3,502)		9,282		13		109,066		(277)
Total mortgage commitment derivatives	154,992		2,665		198,601		(3,594)		71,928		165		120,413		(306)
Credit enhancement derivatives	26,897		37		12,312		(29)		28,432		40		9,486		(25)
Derivatives at fair value	$	392,994	$	2,771	$	256,812	$	(3,809)	$	243,475	$	271	$	196,666	$	(435)

⁽¹⁾Futures have no ascribable fair value because 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 $1.4 billion and $1.0 billion as of March 31, 2020 and December 31, 2019, respectively. Cash collateral received was $896 million and $635 million as of March 31, 2020 and December 31, 2019, respectively.

Fair Value Gain (Loss), Net [Table Text Block]

The following table displays, by type of derivative instrument, the fair value gains and losses, net on our derivatives.

	For the Three Months Ended March 31,
	2020		2019
	(Dollars in millions)
Risk management derivatives:
Swaps:
Pay-fixed	$	(4,029)	$	(1,335)
Receive-fixed	3,343		1,281
Basis	56		24
Foreign currency	(38)		19
Swaptions:
Pay-fixed	(148)		(177)
Receive-fixed	632		7
Futures	(71)		59
Net contractual interest expense on interest-rate swaps	(106)		(266)
Total risk management derivatives fair value losses, net	(361)		(388)
Mortgage commitment derivatives fair value losses, net	(993)		(300)
Credit enhancement derivatives fair value losses, net	(11)		(7)
Total derivatives fair value losses, net	$	(1,365)	$	(695)