Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 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 June 30, 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	$	98,953	$	—	$	28,553	$	(1,747)	$	41,052	$	—	$	29,178	$	(970)
Receive-fixed	131,314		1,143		4,851		(3)		73,579		816		26,382		(62)
Basis	250		222		—		—		273		149		—		—
Foreign currency	215		32		217		(91)		229		39		232		(65)
Swaptions:
Pay-fixed	4,600		6		5,875		(340)		4,600		18		6,375		(219)
Receive-fixed	6,625		648		350		(134)		2,875		106		4,600		(232)
Futures(1)	15,982		—		—		—		20,507		—		—		—
Total gross risk management derivatives	257,939		2,051		39,846		(2,315)		143,115		1,128		66,767		(1,548)
Accrued interest receivable (payable)	—		109		—		(193)		—		226		—		(250)
Netting adjustment(2)	—		(2,108)		—		2,396		—		(1,288)		—		1,694
Total net risk management derivatives	$	257,939	$	52	$	39,846	$	(112)	$	143,115	$	66	$	66,767	$	(104)
Mortgage commitment derivatives:
Mortgage commitments to purchase whole loans	$	41,032	$	175	$	1,141	$	(1)	$	7,115	$	15	$	1,787	$	(1)
Forward contracts to purchase mortgage-related securities	106,225		571		13,080		(21)		55,531		137		9,560		(28)
Forward contracts to sell mortgage-related securities	12,131		21		212,592		(1,202)		9,282		13		109,066		(277)
Total mortgage commitment derivatives	159,388		767		226,813		(1,224)		71,928		165		120,413		(306)
Credit enhancement derivatives	24,334		85		11,159		(44)		28,432		40		9,486		(25)
Derivatives at fair value	$	441,661	$	904	$	277,818	$	(1,380)	$	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 $1.2 billion and $1.0 billion as of June 30, 2020 and December 31, 2019, respectively. Cash collateral received was $906 million and $635 million as of June 30, 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 June 30,				For the Six Months Ended June 30,
	2020		2019		2020		2019
	(Dollars in millions)
Risk management derivatives:
Swaps:
Pay-fixed	$	(94)	$	(2,164)	$	(4,123)	$	(3,499)
Receive-fixed	191		1,884		3,534		3,165
Basis	17		27		73		51
Foreign currency	4		(17)		(34)		2
Swaptions:
Pay-fixed	(13)		(143)		(161)		(320)
Receive-fixed	25		93		657		100
Futures	(4)		195		(75)		254
Net contractual interest expense on interest-rate swaps	(64)		(242)		(170)		(508)
Total risk management derivatives fair value gains (losses), net	62		(367)		(299)		(755)
Mortgage commitment derivatives fair value losses, net	(662)		(469)		(1,655)		(769)
Credit enhancement derivatives fair value gains (losses), net	31		(17)		20		(24)
Total derivatives fair value losses, net	$	(569)	$	(853)	$	(1,934)	$	(1,548)