Derivative Instruments (Tables)

12 Months Ended

Dec. 31, 2020

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, 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	$	88,361	$	—	$	11,461	$	(595)	$	41,052	$	—	$	29,178	$	(970)
Receive-fixed	92,315		233		33,919		(123)		73,579		816		26,382		(62)
Basis	250		192		—		—		273		149		—		—
Foreign currency	237		57		239		(58)		229		39		232		(65)
Swaptions:
Pay-fixed	5,530		37		2,025		(118)		4,600		18		6,375		(219)
Receive-fixed	3,355		346		700		(16)		2,875		106		4,600		(232)
Futures(1)	64,398		—		—		—		20,507		—		—		—
Total gross risk management derivatives	254,446		865		48,344		(910)		143,115		1,128		66,767		(1,548)
Accrued interest receivable (payable)	—		97		—		(105)		—		226		—		(250)
Netting adjustment(2)	—		(905)		—		995		—		(1,288)		—		1,694
Total net risk management derivatives	$	254,446	$	57	$	48,344	$	(20)	$	143,115	$	66	$	66,767	$	(104)
Mortgage commitment derivatives:
Mortgage commitments to purchase whole loans	$	35,292	$	145	$	51	$	—	$	7,115	$	15	$	1,787	$	(1)
Forward contracts to purchase mortgage-related securities	144,215		844		607		—		55,531		137		9,560		(28)
Forward contracts to sell mortgage-related securities	199		—		227,828		(1,426)		9,282		13		109,066		(277)
Total mortgage commitment derivatives	179,706		989		228,486		(1,426)		71,928		165		120,413		(306)
Credit enhancement derivatives	16,829		179		11,368		(49)		28,432		40		9,486		(25)
Derivatives at fair value	$	450,981	$	1,225	$	288,198	$	(1,495)	$	243,475	$	271	$	196,666	$	(435)

(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 $658 million and $1.0 billion as of December 31, 2020 and 2019, respectively. Cash collateral received was $568 million and $635 million as of December 31, 2020 and 2019, 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,
	2020		2019		2018
	(Dollars in millions)
Risk management derivatives:
Swaps:
Pay-fixed	$	(2,764)	$	(3,964)	$	2,940
Receive-fixed	2,226		3,685		(1,834)
Basis	43		46		(21)
Foreign currency	23		24		(51)
Swaptions:
Pay-fixed	(146)		(380)		100
Receive-fixed	595		117		(39)
Futures	(76)		273		38
Net contractual interest expense on interest-rate swaps	(261)		(833)		(1,061)
Total risk management derivatives fair value gains (losses), net	(360)		(1,032)		72
Mortgage commitment derivatives fair value gains (losses), net	(2,654)		(1,043)		324
Credit enhancement derivatives fair value gains (losses), net	182		(35)		26
Total derivatives fair value gains (losses), net	$	(2,832)	$	(2,110)	$	422