v3.25.1
Fair Value Measurements
 3 Months Ended
Mar. 31, 2025
Fair Value Disclosures [Abstract]  
Fair Value Measurements Fair Value Measurements
The following table provides a summary of our assets and liabilities that are measured at fair value on a recurring basis, as of March 31, 2025 and December 31, 2024, based on their categorization within the valuation hierarchy (in millions). There were no transfers between valuation hierarchy levels during the periods presented in our accompanying consolidated statements of comprehensive income.
March 31, 2025December 31, 2024
Level 1Level 2Level 3Level 1Level 2Level 3
Assets:
Agency securities
$— $70,363 $— $— $65,367 $— 
Agency securities transferred to consolidated VIEs
— 95 — — 97 — 
Credit risk transfer securities
— 640 — — 633 — 
Non-Agency securities
— 227 — — 251 — 
U.S. Treasury securities
3,280 — — 1,575 — — 
Interest rate swaps 1
— 2 — — 22 — 
Swaptions
— 17 — — 39 — 
TBA securities— 72 — — 61 — 
SOFR Futures6 — — — — — 
U.S. Treasury futures
1 — — 83 — — 
Total$3,287 $71,416 $— $1,658 $66,470 $— 
Liabilities:
Debt of consolidated VIEs$— $62 $— $— $64 $— 
Obligation to return U.S. Treasury securities borrowed under reverse repurchase agreements17,180 — — 16,676 — — 
Interest rate swaps 1
— 3 — — — — 
TBA securities— 28 — — 87 — 
U.S. Treasury futures39 — — — — — 
SOFR Futures— — — 7 — — 
Total$17,219 $93 $— $16,683 $151 $— 
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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 was a net asset (liability) of $1.4 billion and $2.3 billion, respectively, based on "Level 2" inputs.
Excluded from the table above are financial instruments reported at cost and other mortgage credit investments reported under the equity method of accounting in our consolidated financial statements. As of March 31, 2025 and December 31, 2024, the fair value of our repurchase agreements approximated cost, given their short-term nature (less than one year) and the rates on our outstanding repurchase agreements largely corresponded to prevailing rates observed in the repo market. The fair value of cash and cash equivalents, restricted cash, receivables and other payables were determined to approximate cost as of such dates due to their short duration. We estimate the fair value of these instruments carried at cost using "Level 1" or "Level 2" inputs. As of March 31, 2025 and December 31, 2024, the carrying value of other mortgage credit investments reported under the equity method of accounting was $63 million and $64 million, respectively.