Derivatives (Tables)
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9 Months Ended |
Sep. 30, 2025 |
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| Derivative Instruments and Hedging Activities Disclosure [Abstract] |
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| Table - Derivative Assets and Liabilities at Fair Value |
The table below presents the notional value and fair value of derivatives reported on our condensed consolidated balance sheets. Table 8.1 - Derivative Assets and Liabilities at Fair Value | | | | | | | | | | | | | | | | | | | | | | | | | | | | | September 30, 2025 | | December 31, 2024 | | | | Notional or
Contractual
Amount | Derivative Assets | Derivative Liabilities | | Notional or
Contractual
Amount | Derivative Assets | Derivative Liabilities | | (In millions) | | | | Not designated as hedges | | | | | | | | | | Interest-rate risk management derivatives: | | | | | | | | | | Swaps | | $504,376 | | $1,079 | | ($370) | | | $382,761 | | $1,512 | | ($340) | | | Written options | | 41,680 | | — | | (1,544) | | | 33,117 | | — | | (1,826) | | Purchased options(1) | | 127,370 | | 3,929 | | — | | | 126,750 | | 4,649 | | — | | | Futures | | 53,671 | | — | | — | | | 165,894 | | — | | — | | | Total interest-rate risk management derivatives | | 727,097 | | 5,008 | | (1,914) | | | 708,522 | | 6,161 | | (2,166) | | | Mortgage commitment derivatives | | 61,613 | | 28 | | (16) | | | 37,407 | | 26 | | (40) | | CRT-related derivatives(2) | | 27,726 | | — | | (167) | | | 28,962 | | — | | (186) | | | Other | | 27,741 | | 79 | | (516) | | | 20,505 | | 94 | | (695) | | | Total derivatives not designated as hedges | | 844,177 | | 5,115 | | (2,613) | | | 795,396 | | 6,281 | | (3,087) | | | Designated as fair value hedges | | | | | | | | | | Interest-rate risk management derivatives: | | | | | | | | | | Swaps | | 134,209 | | 185 | | (2,475) | | | 159,086 | | 209 | | (4,149) | | | Total derivatives designated as fair value hedges | | 134,209 | | 185 | | (2,475) | | | 159,086 | | 209 | | (4,149) | | | Receivables (payables) | | | 26 | | (56) | | | | 91 | | — | | Netting adjustments(3) | | | (4,368) | | 4,415 | | | | (6,080) | | 6,282 | | | Total derivatives portfolio, net | | $978,386 | | $958 | | ($729) | | | $954,482 | | $501 | | ($954) | |
(1)Includes swaptions on credit indices with a notional or contractual amount of $6.4 billion and $6.8 billion at September 30, 2025 and December 31, 2024, respectively, and a fair value of $1.0 million at both September 30, 2025 and December 31, 2024. (2)Includes derivative instruments related to CRT transactions that are considered freestanding credit enhancements. (3)Represents counterparty netting and cash collateral netting.
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| Table - Offsetting of Derivatives |
The table below presents offsetting and collateral information related to derivatives which are subject to enforceable master netting agreements or similar arrangements. Table 8.2 - Offsetting of Derivatives | | | | | | | | | | | | | | | | | | | | | | | September 30, 2025 | | December 31, 2024 | | | | Derivative Assets | Derivative Liabilities | | Derivative Assets | Derivative Liabilities | | (In millions) | | | | OTC derivatives | | $5,204 | | ($4,388) | | | $6,360 | | ($6,315) | | | Cleared and exchange-traded derivatives | | 15 | | (44) | | | 74 | | — | | | Mortgage commitment derivatives | | 28 | | (29) | | | 53 | | (40) | | | Other | | 79 | | (683) | | | 94 | | (881) | | | Total derivatives | | 5,326 | | (5,144) | | | 6,581 | | (7,236) | | | Counterparty netting | | (3,044) | | 3,044 | | | (3,906) | | 3,906 | | Cash collateral netting(1) | | (1,324) | | 1,371 | | | (2,174) | | 2,376 | | | Net amount presented in the condensed consolidated balance sheets | | 958 | | (729) | | | 501 | | (954) | | Gross amount not offset in the condensed consolidated balance sheets(2) | | (761) | | 6 | | | (190) | | 11 | | | Net amount | | $197 | | ($723) | | | $311 | | ($943) | |
(1)Excess cash collateral held is presented as a derivative liability, while excess cash collateral posted is presented as a derivative asset. (2)Does not include the fair value amount of non-cash collateral posted or held that exceeds the associated net asset or liability, netted by counterparty, presented on the condensed consolidated balance sheets.
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| Table - Gains and Losses on Derivatives |
The table below presents the gains and losses on derivatives not designated in qualifying hedge relationships. These amounts are reported on our condensed consolidated statements of income as investment gains, net. Table 8.3 - Gains and Losses on Derivatives | | | | | | | | | | | | | | | | | | | (In millions) | | 3Q 2025 | 3Q 2024 | YTD 2025 | YTD 2024 | | Interest-rate risk management derivatives: | | | | | | | Swaps | | $108 | | ($425) | | ($307) | | ($27) | | | Written options | | 127 | | 223 | | 347 | | 174 | | | Purchased options | | (372) | | (511) | | (729) | | (213) | | | Futures | | (20) | | (475) | | (196) | | 68 | | | Total interest-rate risk management derivatives fair value gains (losses) | | (157) | | (1,188) | | (885) | | 2 | | | Mortgage commitment derivatives | | (239) | | (415) | | (422) | | (343) | | CRT-related derivatives(1) | | 10 | | 39 | | 26 | | 47 | | | Other | | 69 | | 194 | | 231 | | 31 | | | Total derivatives not designated as hedges fair value gains (losses) | | ($317) | | ($1,370) | | ($1,050) | | ($263) | |
(1)Includes derivative instruments related to CRT transactions that are considered freestanding credit enhancements.
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| Table - Gains and Losses on Fair Value Hedge |
The table below presents the effects of fair value hedge accounting by condensed consolidated statements of income line item, including the gains and losses on derivatives and hedged items designated in qualifying hedge relationships and other components due to the application of hedge accounting. Table 8.4 - Gains and Losses on Fair Value Hedges | | | | | | | | | | | | | | | | | | | | 3Q 2025 | 3Q 2024 | | (In millions) | | Interest Income | Interest Expense | Interest Income | Interest Expense | | Total amounts of income and expense line items presented in our condensed consolidated statements of income in which the effects of fair value hedges are recorded: | | $32,975 | | ($27,520) | | $29,809 | | ($24,810) | | | | | | | | | Interest contracts on mortgage loans held-for-investment: | | | | | | | Gain (loss) on fair value hedging relationships: | | | | | | | Hedged items | | 347 | | — | | 2,049 | | — | | | Derivatives designated as hedging instruments | | (312) | | — | | (2,039) | | — | | | Interest accruals on hedging instruments | | 194 | | — | | 227 | | — | | | Discontinued hedge related basis adjustments amortization | | 67 | | — | | 44 | | — | | | Interest contracts on debt: | | | | | | | Gain (loss) on fair value hedging relationships: | | | | | | | Hedged items | | — | | (473) | | — | | (1,869) | | | Derivatives designated as hedging instruments | | — | | 481 | | — | | 1,876 | | | Interest accruals on hedging instruments | | — | | (428) | | — | | (824) | | | Discontinued hedge related basis adjustment amortization | | — | | (11) | | — | | (1) | | | Total impact of fair value hedge accounting | | $296 | | ($431) | | $281 | | ($818) | | | | | | | | | | YTD 2025 | YTD 2024 | | (In millions) | | Interest Income | Interest Expense | Interest Income | Interest Expense | | Total amounts of income and expense line items presented in our condensed consolidated statements of income in which the effects of fair value hedges are recorded: | | $96,388 | | ($80,532) | | $87,258 | | ($72,572) | | | | | | | | | Interest contracts on mortgage loans held-for-investment: | | | | | | | Gain (loss) on fair value hedging relationships: | | | | | | | Hedged items | | 1,370 | | — | | 820 | | — | | | Derivatives designated as hedging instruments | | (1,425) | | — | | (926) | | — | | | Interest accruals on hedging instruments | | 446 | | — | | 701 | | — | | | Discontinued hedge related basis adjustments amortization | | 203 | | — | | 160 | | — | | | Interest contracts on debt: | | | | | | | Gain (loss) on fair value hedging relationships: | | | | | | | Hedged items | | — | | (1,881) | | — | | (2,246) | | | Derivatives designated as hedging instruments | | — | | 1,903 | | — | | 2,268 | | | Interest accruals on hedging instruments | | — | | (1,372) | | — | | (2,627) | | | Discontinued hedge related basis adjustment amortization | | — | | (23) | | — | | (5) | | | Total impact of fair value hedge accounting | | $594 | | ($1,373) | | $755 | | ($2,610) | |
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| Table - Cumulative Basis Adjustments Due to Fair Value Hedging |
The table below presents the cumulative basis adjustments and the carrying amounts of the hedged item by its respective balance sheet line item. Table 8.5 - Cumulative Basis Adjustments Due to Fair Value Hedging | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | September 30, 2025 | | | Carrying Amount Assets / (Liabilities) | | Cumulative Amount of Fair Value Hedging Basis Adjustment Included in the Carrying Amount | | Closed Portfolio Under the Portfolio Layer Method | | (In millions) | | | Total | Under the Portfolio Layer Method | Discontinued - Hedge Related | | Total Amount by Amortized Cost Basis | Designated Amount by UPB | | Mortgage loans held-for-investment | | $1,098,249 | | | ($2,336) | | ($262) | | ($2,074) | | | $43,348 | | $8,435 | | | | | | | | | | | | | Debt | | (78,921) | | | 2,182 | | — | | 15 | | | — | | — | | | | | | | | | | | | | | December 31, 2024 | | | Carrying Amount Assets / (Liabilities) | | Cumulative Amount of Fair Value Hedging Basis Adjustment Included in the Carrying Amount | | Closed Portfolio Under the Portfolio Layer Method | | (In millions) | | | Total | Under the Portfolio Layer Method | Discontinued - Hedge Related | | Total Amount by Amortized Cost Basis | Designated Amount by UPB | | Mortgage loans held-for-investment | | $1,117,060 | | | ($3,909) | | ($695) | | ($3,214) | | | $56,394 | | $12,070 | | | | | | | | | | | | | Debt | | (107,241) | | | 4,050 | | — | | 19 | | | — | | — | |
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