Derivative Instruments (Tables)

9 Months Ended

Sep. 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 September 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	$	110,215	$	—	$	25,728	$	(1,297)	$	41,052	$	—	$	29,178	$	(970)
Receive-fixed	109,774		1,082		19,213		(54)		73,579		816		26,382		(62)
Basis	250		218		—		—		273		149		—		—
Foreign currency	224		41		226		(78)		229		39		232		(65)
Swaptions:
Pay-fixed	5,400		10		5,525		(341)		4,600		18		6,375		(219)
Receive-fixed	6,625		591		800		(138)		2,875		106		4,600		(232)
Futures(1)	55,004		—		—		—		20,507		—		—		—
Total gross risk management derivatives	287,492		1,942		51,492		(1,908)		143,115		1,128		66,767		(1,548)
Accrued interest receivable (payable)	—		111		—		(230)		—		226		—		(250)
Netting adjustment(2)	—		(2,037)		—		2,053		—		(1,288)		—		1,694
Total net risk management derivatives	$	287,492	$	16	$	51,492	$	(85)	$	143,115	$	66	$	66,767	$	(104)
Mortgage commitment derivatives:
Mortgage commitments to purchase whole loans	$	36,756	$	93	$	9,180	$	(13)	$	7,115	$	15	$	1,787	$	(1)
Forward contracts to purchase mortgage-related securities	122,096		402		37,607		(70)		55,531		137		9,560		(28)
Forward contracts to sell mortgage-related securities	45,165		68		232,148		(759)		9,282		13		109,066		(277)
Total mortgage commitment derivatives	204,017		563		278,935		(842)		71,928		165		120,413		(306)
Credit enhancement derivatives	20,804		459		10,060		(38)		28,432		40		9,486		(25)
Derivatives at fair value	$	512,313	$	1,038	$	340,487	$	(965)	$	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 $991 million and $1.0 billion as of September 30, 2020 and December 31, 2019, respectively. Cash collateral received was $975 million and $635 million as of September 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 September 30,				For the Nine Months Ended September 30,
	2020		2019		2020		2019
	(Dollars in millions)
Risk management derivatives:
Swaps:
Pay-fixed	$	634	$	(1,414)	$	(3,489)	$	(4,913)
Receive-fixed	(550)		966		2,984		4,131
Basis	(5)		24		68		75
Foreign currency	23		(11)		(11)		(9)
Swaptions:
Pay-fixed	2		(110)		(159)		(430)
Receive-fixed	(60)		209		597		309
Futures	—		42		(75)		296
Net contractual interest expense on interest-rate swaps	(46)		(190)		(216)		(698)
Total risk management derivatives fair value losses, net	(2)		(484)		(301)		(1,239)
Mortgage commitment derivatives fair value losses, net	(672)		(177)		(2,327)		(946)
Credit enhancement derivatives fair value gains (losses), net	380		(7)		400		(31)
Total derivatives fair value losses, net	$	(294)	$	(668)	$	(2,228)	$	(2,216)