v3.26.1
Derivative and Other Hedging Instruments
 6 Months Ended
Jun. 30, 2026
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
US Government Futures Securities [Table Text Block]
 U.S. Treasury Futures1
June 30, 2026December 31, 2025
Years to MaturityNotional 
Amount
Long (Short)		Cost
Basis		Fair
Value
Net Carrying Value 2
Notional 
Amount
Long (Short)		Cost
Basis		Fair
Value
Net Carrying Value 2
≤ 5 years$3,413 $3,519 $3,517 $(2)$— $— $— $— 
> 5 year ≤ 7 years5,254 5,731 5,774 43 4,606 5,175 5,178 3 
> 7 year ≤ 10 years(1,710)(1,900)(1,923)(23)— — — — 
> 10 years(3,210)(3,558)(3,643)(85)(3,210)(3,718)(3,710)8 
Total U.S. Treasury futures, net$3,747 $3,792 $3,725 $(67)$1,396 $1,457 $1,468 $11 
________________________________
1.As of June 30, 2026 and December 31, 2025, short U.S. Treasury futures totaled $(5.6) billion and $(3.7) billion, at fair value, respectively. As of June 30, 2026 and December 31, 2025, long U.S. Treasury futures totaled $9.3 billion and $5.2 billion, at fair value, respectively.
2.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 June 30, 2026 and December 31, 2025 (in millions):
Derivative and Other Hedging InstrumentsBalance Sheet Location
June 30,
2026
December 31,
2025
Interest rate swaps 1
Derivative assets, at fair value$111 $57 
SwaptionsDerivative assets, at fair value31 24 
TBA and forward settling non-Agency securitiesDerivative assets, at fair value76 77 
U.S. Treasury futures - longDerivative assets, at fair value42 3 
U.S. Treasury futures - shortDerivative assets, at fair value— 8 
Total derivative assets, at fair value
$260 $169 
Interest rate swaps 1
Derivative liabilities, at fair value$— $— 
TBA and forward settling non-Agency securitiesDerivative liabilities, at fair value(24)(6)
U.S. Treasury futures - longDerivative liabilities, at fair value(1)— 
U.S. Treasury futures - shortDerivative liabilities, at fair value(108)— 
SOFR futures contracts - longDerivative liabilities, at fair value(4)— 
Total derivative liabilities, at fair value
$(137)$(6)
U.S. Treasury securities - longU.S. Treasury securities, at fair value$12,325 $13,477 
U.S. Treasury securities - shortObligation to return securities borrowed under reverse repurchase agreements, at fair value(18,150)(16,452)
Total U.S. Treasury securities, net at fair value
$(5,825)$(2,975)
________________________________
1.As of June 30, 2026 and December 31, 2025, 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 $2.2 billion and $1.3 billion, respectively.
The following tables summarize certain characteristics of our derivative and other hedging instruments outstanding as of June 30, 2026 and December 31, 2025 (dollars in millions):
Pay Fixed / Receive Variable Interest Rate Swaps
June 30, 2026
December 31, 2025
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$6,300 0.21%3.68%0.4$7,300 0.20%3.80%0.5
> 1 to ≤ 3 years30,771 2.89%3.68%1.720,421 2.38%3.86%2.1
> 3 to ≤ 5 years9,000 2.18%3.68%4.08,970 2.26%3.85%4.5
> 5 to ≤ 7 years15,670 3.29%3.68%6.413,980 3.43%3.87%6.8
> 7 to ≤ 10 years12,011 3.48%3.68%8.413,961 3.43%3.87%8.6
Total $73,752 2.76%3.68%4.0$64,632 2.57%3.86%4.7
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1.As of June 30, 2026, 98% and 2% of notional amount receive index references SOFR and OIS, respectively. As of December 31, 2025, 95% and 5% of notional amount receive index references SOFR and OIS, respectively.

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)
June 30, 2026≤ 1 year$71 $31 7$7,750 3.24%9.0
December 31, 2025≤ 1 year$70 $24 9$7,000 3.04%9.2
________________________________
1.Pay index references SOFR.
U.S. Treasury Securities 1
June 30, 2026December 31, 2025
Years to MaturityFace Amount Long/(Short)Cost BasisFair ValueFace Amount Long/(Short)Cost BasisFair Value
≤ 5 years$9,556 $9,502 $9,418 $12,470 $12,465 $12,467 
> 5 year ≤ 7 years81 81 81 (838)(834)(774)
> 7 year ≤ 10 years(13,345)(13,259)(13,185)(12,390)(12,334)(12,493)
> 10 years(2,162)(2,209)(2,139)(2,162)(2,210)(2,175)
Total U.S. Treasury securities, net$(5,870)$(5,885)$(5,825)$(2,920)$(2,913)$(2,975)
________________________________
1.As of June 30, 2026 and December 31, 2025, short U.S. Treasury securities totaling $(18.2) billion and $(16.5) billion, at fair value, respectively, had a weighted average yield of 4.28% and 4.21%, respectively. As of June 30, 2026 and December 31, 2025, long U.S. Treasury securities totaling $12.3 billion and $13.5 billion, at fair value, respectively, had a weighted average yield of 3.71% and 3.67%, respectively.

 U.S. Treasury Futures1
June 30, 2026December 31, 2025
Years to MaturityNotional 
Amount
Long (Short)		Cost
Basis		Fair
Value
Net Carrying Value 2
Notional 
Amount
Long (Short)		Cost
Basis		Fair
Value
Net Carrying Value 2
≤ 5 years$3,413 $3,519 $3,517 $(2)$— $— $— $— 
> 5 year ≤ 7 years5,254 5,731 5,774 43 4,606 5,175 5,178 3 
> 7 year ≤ 10 years(1,710)(1,900)(1,923)(23)— — — — 
> 10 years(3,210)(3,558)(3,643)(85)(3,210)(3,718)(3,710)8 
Total U.S. Treasury futures, net$3,747 $3,792 $3,725 $(67)$1,396 $1,457 $1,468 $11 
________________________________
1.As of June 30, 2026 and December 31, 2025, short U.S. Treasury futures totaled $(5.6) billion and $(3.7) billion, at fair value, respectively. As of June 30, 2026 and December 31, 2025, long U.S. Treasury futures totaled $9.3 billion and $5.2 billion, at fair value, respectively.
2.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.


 June 30, 2026December 31, 2025
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
15-Year TBA securities:
≥ 4.5%$267 $270 $269 $(1)$148 $151 $151 $— 
Total 15-Year TBA securities267 270 269 (1)148 151 151 — 
30-Year TBA securities:
≤ 3.0%2,295 1,933 1,950 17 — — — — 
3.5%— — — — 452 415 417 2 
4.0%(50)(46)(47)(1)— — — — 
4.5%908 862 871 9 5,317 5,156 5,193 37 
5.0%2,061 2,019 2,031 12 5,679 5,643 5,666 23 
5.5%2,270 2,258 2,279 21 1,842 1,851 1,857 6 
6.0%(214)(218)(219)(1)1,745 1,780 1,786 6 
≥ 6.5%2,510 2,598 2,594 (4)(2,003)(2,079)(2,082)(3)
Total 30-Year TBA securities, net9,780 9,406 9,459 53 13,032 12,766 12,837 71 
Total TBA securities, net$10,047 $9,676 $9,728 $52 $13,180 $12,917 $12,988 $71 
________________________________
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.
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 and six months ended June 30, 2026 and 2025 (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 June 30, 2026:
TBA securities, net$10,909 51,648 (52,510)$10,047 $(36)
Interest rate swaps - payer$76,502 400 (3,150)$73,752 640 
Receiver swaptions$(7,000)(3,750)3,000 $(7,750)(15)
U.S. Treasury securities - short position$(17,162)(5,340)4,132 $(18,370)81 
U.S. Treasury securities - long position$12,686 757 (943)$12,500 (67)
U.S. Treasury futures contracts - short position$(3,210)(6,629)4,919 $(4,920)(37)
U.S. Treasury futures contracts - long position$12,455 9,280 (13,068)$8,667 (79)
$487 
Three months ended June 30, 2025:
TBA securities, net$7,811 35,699 (35,103)$8,407 $11 
Interest rate swaps - payer$47,796 2,600 (5,300)$45,096 (236)
Payer swaptions$2,000 — — $2,000 (9)
Receiver Swaptions$(150)— — $(150)— 
U.S. Treasury securities - short position$(17,636)(7,971)4,211 $(21,396)(139)
U.S. Treasury securities - long position$3,216 3,968 (3,639)$3,545 — 
U.S. Treasury futures contracts - short position$(2,191)(4,614)4,841 $(1,964)17 
U.S. Treasury futures contracts - long position$668 600 (1,268)$— (13)
$(369)
Six months ended June 30, 2026:
TBA securities, net$13,180 105,065 (108,198)$10,047 $(90)
Interest rate swaps - payer$64,632 51,020 (41,900)$73,752 1,095 
Receiver swaptions$(7,000)(3,750)3,000 $(7,750)(21)
U.S. Treasury securities - short position$(16,378)(10,339)8,347 $(18,370)259 
U.S. Treasury securities - long position$13,458 25,807 (26,765)$12,500 (134)
U.S. Treasury futures contracts - short position$(3,210)(9,839)8,129 $(4,920)4 
U.S. Treasury futures contracts - long position$4,606 37,199 (33,138)$8,667 (244)
$869 
Six months ended June 30, 2025:
TBA securities, net$6,955 63,666 (62,214)$8,407 $88 
Interest rate swaps - payer$39,646 10,750 (5,300)$45,096 (805)
Payer swaptions$2,000 1,500 (1,500)$2,000 (28)
Receiver swaptions$(150)— — $(150)— 
U.S. Treasury securities - short position$(17,792)(11,792)8,188 $(21,396)(599)
U.S. Treasury securities - long position$1,585 9,356 (7,396)$3,545 60 
U.S. Treasury futures contracts - short position$(4,373)(6,805)9,214 $(1,964)(83)
U.S. Treasury futures contracts - long position$— 1,350 (1,350)$— (13)
$(1,380)
________________________________
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 June 30, 2026 and 2025, we held SOFR futures contracts with a long notional position of $2.6 billion and $1.2 billion, respectively, measured on a two-year swap equivalent basis. For the three and six months ended June 30, 2026, we recognized a loss of $4 million and for the three and six months ended June 30, 2025, we recognized a gain of $3 million and $13 million