v3.25.1
Derivative and Other Hedging Instruments
 3 Months Ended
Mar. 31, 2025
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
US Government Futures Securities [Table Text Block]
 U.S. Treasury FuturesMarch 31, 2025December 31, 2024
Years to MaturityNotional 
Amount
Long (Short)		Cost
Basis		Fair
Value
Net Carrying Value 1
Notional 
Amount
Long (Short)		Cost
Basis		Fair
Value
Net Carrying Value 1
> 5 year ≤ 7 years$668 $742 $743 $1 $(1,582)$(1,734)$(1,721)$13 
> 7 year ≤ 10 years(150)(169)(171)(2)(500)(566)(557)9 
> 10 years(2,041)(2,357)(2,394)(37)(2,291)(2,669)(2,608)61 
Total U.S. Treasury futures$(1,523)$(1,784)$(1,822)$(38)$(4,373)$(4,969)$(4,886)$83 
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1.Net carrying value represents the difference between the fair market value and the cost basis (or the forward price to be paid/(received) for the underlying U.S. Treasury security) of the U.S. Treasury futures contract as of period-end and is reported in derivative assets/(liabilities), at fair value in our consolidated balance sheets.
Derivative and Other Hedging Instruments Derivative and Other Hedging Instruments
For the periods presented, our interest rate based hedges primarily consisted of interest rate swaps, interest rate swaptions, U.S. Treasury securities and U.S. Treasury futures contracts. We also utilized forward contracts, primarily consisting of TBA securities, for the purchase and sale of investment securities. For additional information regarding our derivative instruments and our overall risk management strategy, please refer to the discussion of derivative and other hedging instruments in Note 2.
Derivative and Other Hedging Instrument Assets (Liabilities), at Fair Value
The table below summarizes fair value information about our derivative and other hedging instrument assets/(liabilities) as of March 31, 2025 and December 31, 2024 (in millions):
Derivative and Other Hedging InstrumentsBalance Sheet Location
March 31,
2025
December 31,
2024
Interest rate swaps 1
Derivative assets, at fair value$2 $22 
SwaptionsDerivative assets, at fair value17 39 
TBA and forward settling non-Agency securitiesDerivative assets, at fair value72 61 
U.S. Treasury futures - shortDerivative assets, at fair value1 83 
SOFR futures contracts - longDerivative assets, at fair value6 — 
Total derivative assets, at fair value
$98 $205 
Interest rate swaps 1
Derivative liabilities, at fair value$(3)$— 
TBA and forward settling non-Agency securitiesDerivative liabilities, at fair value(28)(87)
U.S. Treasury futures - shortDerivative liabilities, at fair value(39)— 
SOFR futures contracts - longDerivative liabilities, at fair value— (7)
Total derivative liabilities, at fair value
$(70)$(94)
U.S. Treasury securities - longU.S. Treasury securities, at fair value$3,280 $1,575 
U.S. Treasury securities - shortObligation to return securities borrowed under reverse repurchase agreements, at fair value(17,180)(16,676)
Total U.S. Treasury securities, net at fair value
$(13,900)$(15,101)
________________________________
1.As of March 31, 2025 and December 31, 2024, the net fair value of our interest rate swaps excluding the recognition of variation margin settlements as a direct reduction of carrying value (see Note 2) was a net asset (liability) of $1.4 billion and $2.3 billion, respectively.
The following tables summarize certain characteristics of our derivative and other hedging instruments outstanding as of March 31, 2025 and December 31, 2024 (dollars in millions):
Pay Fixed / Receive Variable Interest Rate Swaps
March 31, 2025
December 31, 2024
Years to MaturityNotional
Amount		Average
Fixed Pay 
Rate
Average
Variable Receive
Rate 1
Average
Maturity
(Years)		Notional
Amount		Average
Fixed Pay 
Rate
Average
Variable Receive
Rate 1
Average
Maturity
(Years)
≤ 1 year$9,250 0.15%4.38%0.3$8,500 0.14%4.42%0.5
> 1 to ≤ 3 years9,800 0.21%4.39%1.610,550 0.22%4.45%1.8
> 3 to ≤ 5 years4,800 0.36%4.40%3.93,800 0.25%4.49%3.9
> 5 to ≤ 7 years4,450 3.03%4.41%6.04,150 2.14%4.46%5.7
> 7 to ≤ 10 years19,496 3.72%4.41%9.012,646 3.52%4.49%8.8
Total $47,796 1.91%4.40%5.0$39,646 1.46%4.46%4.4
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1.As of March 31, 2025, 85% and 15% of notional amount receive index references SOFR and OIS, respectively. As of December 31, 2024, 82% and 18% of notional amount receive index references SOFR and OIS, respectively.
Payer SwaptionsOptionUnderlying Payer Swap
Option
Expiration Date		Cost BasisFair ValueAverage
Months to Option
Expiration Date		Notional
Amount
Average Fixed Pay
Rate 1
Average
Term
(Years)
March 31, 2025≤ 1 year$34 $16 10$2,000 4.59%10.0
December 31, 2024≤ 1 year$23 $38 5$2,000 4.16%10.0
________________________________
1.Receive index references SOFR.

Receiver SwaptionsOptionUnderlying Receiver Swap
Option
Expiration Date
Cost BasisFair ValueAverage
Months to Option
Expiration Date		Notional
Amount
Average Fixed Receive
Rate 1
Average
Term
(Years)
March 31, 2025≤ 1 year$3 $1 8$150 2.98%5.0
December 31, 2024≤ 1 year$3 $1 11$150 2.98%5.0
________________________________
1.Pay index references SOFR.
U.S. Treasury Securities 1
March 31, 2025December 31, 2024
Years to MaturityFace Amount Long/(Short)Cost BasisFair ValueFace Amount Long/(Short)Cost BasisFair Value
≤ 5 years$(1,056)$(1,053)$(1,058)$956 $961 $956 
> 5 year ≤ 7 years(671)(657)(507)(2,722)(2,685)(2,302)
> 7 year ≤ 10 years(10,910)(10,531)(10,526)(12,659)(12,329)(11,999)
> 10 years(1,783)(1,829)(1,809)(1,782)(1,829)(1,756)
Total U.S. Treasury securities$(14,420)$(14,070)$(13,900)$(16,207)$(15,882)$(15,101)
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1.As of March 31, 2025 and December 31, 2024, short U.S. Treasury securities totaling $(17.2) billion and $(16.7) billion, at fair value, respectively, had a weighted average yield of 4.06% and 3.85%, respectively. As of March 31, 2025 and December 31, 2024, long U.S. Treasury securities totaling $3.3 billion and $1.6 billion, at fair value, respectively, had a weighted average yield of 4.42% and 4.27%, respectively.

 U.S. Treasury FuturesMarch 31, 2025December 31, 2024
Years to MaturityNotional 
Amount
Long (Short)		Cost
Basis		Fair
Value
Net Carrying Value 1
Notional 
Amount
Long (Short)		Cost
Basis		Fair
Value
Net Carrying Value 1
> 5 year ≤ 7 years$668 $742 $743 $1 $(1,582)$(1,734)$(1,721)$13 
> 7 year ≤ 10 years(150)(169)(171)(2)(500)(566)(557)9 
> 10 years(2,041)(2,357)(2,394)(37)(2,291)(2,669)(2,608)61 
Total U.S. Treasury futures$(1,523)$(1,784)$(1,822)$(38)$(4,373)$(4,969)$(4,886)$83 
________________________________
1.Net carrying value represents the difference between the fair market value and the cost basis (or the forward price to be paid/(received) for the underlying U.S. Treasury security) of the U.S. Treasury futures contract as of period-end and is reported in derivative assets/(liabilities), at fair value in our consolidated balance sheets.
 March 31, 2025December 31, 2024
TBA Securities by CouponNotional 
Amount
Long (Short)		Cost
Basis		Fair
Value
Net Carrying Value 1
Notional 
Amount
Long (Short)		Cost
Basis		Fair
Value
Net Carrying Value 1
30-Year TBA securities:
≤ 3.0%50 41 38 (3)(586)(504)(497)7 
3.5%200 181 180 (1)— 2 — (2)
4.0%972 906 904 (2)122 112 111 (1)
4.5%3,736 3,549 3,570 21 2,342 2,210 2,204 (6)
5.0%4,517 4,417 4,421 4 2,780 2,703 2,700 (3)
5.5%(2,193)(2,189)(2,178)11 (235)(180)(210)(30)
6.0%365 356 370 14 2,033 2,036 2,044 8 
≥ 6.5%164 168 168 — 499 508 509 1 
Total TBA securities, net$7,811 $7,429 $7,473 $44 $6,955 $6,887 $6,861 $(26)
________________________________
1.Net carrying value represents the difference between the fair market value and the cost basis (or the forward price to be paid/(received) for the underlying Agency security) of the TBA contract as of period-end and is reported in derivative assets/(liabilities), at fair value in our consolidated balance sheets.
As of March 31, 2025 and December 31, 2024, we held SOFR futures contracts with a long notional position of $1.2 billion and $1.2 billion, respectively, measured on a two-year swap equivalent basis, with a net carrying value of $6 million and $(7) million, respectively.
Gain (Loss) From Derivative Instruments and Other Securities, Net
The following table summarizes changes in our derivative and other hedge portfolio and their effect on our consolidated statements of comprehensive income for the three months ended March 31, 2025 and 2024 (in millions):
Derivative and Other Hedging InstrumentsBeginning
Notional Amount 		AdditionsSettlement, Termination,
Expiration or
Exercise		Ending
Notional Amount
Gain/(Loss)
on Derivative Instruments and Other Securities, Net 1
Three months ended March 31, 2025:
TBA securities, net$6,955 27,967 (27,111)$7,811 $77 
Interest rate swaps - payer$39,646 8,150 — $47,796 (569)
Payer swaptions$2,000 1,500 (1,500)$2,000 (19)
Receiver swaptions$(150)— — $(150)— 
U.S. Treasury securities - short position$(17,792)(3,821)3,977 $(17,636)(460)
U.S. Treasury securities - long position$1,585 5,388 (3,757)$3,216 60 
U.S. Treasury futures contracts - short position$(4,373)(1,441)4,291 $(1,523)(100)
$(1,011)
Three months ended March 31, 2024:
TBA securities, net$5,332 25,390 (22,071)$8,651 $(58)
Interest rate swaps - payer$44,476 5,170 (5,250)$44,396 658 
Interest rate swaps - receiver$(1,000)— — $(1,000)(9)
Credit default swaps - buy protection$(96)— — $(96)(3)
Payer swaptions$1,250 — (1,250)$— 33 
Receiver swaptions$(150)— — $(150)— 
U.S. Treasury securities - short position$(11,347)(3,101)1,641 $(12,807)338 
U.S. Treasury securities - long position$1,492 1,669 (1,346)$1,815 (43)
U.S. Treasury futures contracts - short position$(6,429)(3,384)6,774 $(3,039)186 
$1,102 
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1.Amounts exclude other miscellaneous gains and losses and other interest income (expense) recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income.
Additionally, as of March 31, 2025 and 2024, we held SOFR futures contracts with a long notional position of $1.2 billion and $0.7 billion, respectively, measured on a two-year swap equivalent basis. For the three months ended March 31, 2025 and 2024, we recognized a gain (loss) of $10 million