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Derivative and Other Hedging Instruments (Tables)
 3 Months Ended
Mar. 31, 2015
Derivative [Line Items]  
Schedule of Outstanding Derivatives Not Designated as Hedging Instruments
The table below summarizes fair value information about our derivative and other hedging instrument assets and liabilities as of March 31, 2015 and December 31, 2014 (in millions):

Derivative and Other Hedging Instruments
 
Balance Sheet Location
 
March 31, 2015
 
December 31, 2014
Interest rate swaps
 
Derivative assets, at fair value
 
$
70

 
$
136

Swaptions
 
Derivative assets, at fair value
 
50

 
75

TBA securities
 
Derivative assets, at fair value
 
109

 
197

Total
 
 
 
$
229

 
$
408

 
 
 
 
 
 
 
Interest rate swaps
 
Derivative liabilities, at fair value
 
$
(1,308
)
 
$
(880
)
TBA securities
 
Derivative liabilities, at fair value
 
(30
)
 
(5
)
U.S. Treasury futures - short
 
Derivative liabilities, at fair value
 
(14
)
 
(5
)
Total
 
 
 
$
(1,352
)
 
$
(890
)
 
 
 
 
 
 
 
U.S. Treasury securities - long
 
U.S. Treasury securities, at fair value
 
$
4,328

 
$
2,427

U.S. Treasury securities - short
 
Obligation to return securities borrowed under reverse repurchase agreements, at fair value 1
 
(3,363
)
 
(5,363
)
Total - (short)/long, net
 
 
 
$
965

 
$
(2,936
)

 ________________________
1.
Our obligation to return securities borrowed under reverse repurchase agreements as of March 31, 2015 and December 31, 2014 relates to securities borrowed to cover short sales of U.S. Treasury securities from which we received total sale proceeds of $3.3 billion and $5.4 billion, respectively. The change in fair value of the borrowed securities is recorded in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income.
Schedule of Interest Rate Swaption Agreements Outstanding
The following table summarizes our interest rate payer swaption agreements outstanding as of March 31, 2015 and December 31, 2014 (dollars in millions):
Payer Swaptions
 
Option
 
Underlying Payer Swap
Years to Expiration
 
Cost
 
Fair
Value
 
Average
Months to
Expiration
 
Notional
Amount
 
Average Fixed Pay
Rate
 
Average
Receive
Rate
(LIBOR)
 
Average
Term
(Years)
March 31, 2015
 
 
 
 
 
 
 
 
 
 
 
 
 
 
≤ 1 year
 
$
117

 
$
28

 
7
 
$
4,650

 
3.33%
 
3M
 
7.1
> 1 to ≤ 2 years
 
13

 
1

 
16
 
550

 
4.01%
 
3M
 
5.7
Total Payer Swaptions
 
$
130

 
$
29

 
8
 
$
5,200

 
3.40%
 
3M
 
7.0
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
December 31, 2014
 
 
 
 
 
 
 
 
 
 
 
 
 
 
≤ 1 year
 
$
113

 
$
36

 
6
 
$
5,600

 
3.15%
 
3M
 
6.4
> 1 to ≤ 2 years
 
32

 
10

 
16
 
1,200

 
3.87%
 
3M
 
5.1
Total Payer Swaptions
 
$
145

 
$
46

 
8
 
$
6,800

 
3.28%
 
3M
 
6.2
The following table summarizes our interest rate receiver swaption agreements outstanding as of March 31, 2015 and December 31, 2014 (dollars in millions):
Receiver Swaptions
 
Option
 
Underlying Receiver Swap
Years to Expiration
 
Cost
 
Fair
Value
 
Average
Months to
Expiration
 
Notional
Amount
 
Average Fixed Receive
Rate
 
Average
 Pay
Rate
(LIBOR)
 
Average
Term
(Years)
March 31, 2015
 
 
 
 
 
 
 
 
 
 
 
 
 
 
≤ 1 year
 
$
6

 
$
21

 
2
 
$
750

 
1.96%
 
3M
 
6.7
December 31, 2014
 
 
 
 
 
 
 
 
 
 
 
 
 
 
≤ 1 year
 
$
18

 
$
29

 
5
 
$
4,250

 
1.78%
 
3M
 
6.4
US government securities
The following table summarizes our U.S. Treasury securities as of March 31, 2015 and December 31, 2014 (in millions):
 
 
March 31, 2015
 
December 31, 2014
Maturity
 
Face Amount Net Long / (Short)
 
Cost Basis
 
Market Value
 
Face Amount Net Long / (Short)
 
Cost Basis
 
Market Value
3 years
 
$
(900
)
 
$
(899
)
 
$
(902
)
 
$
—

 
$
—

 
$
—

5 years
 
(2,111
)
 
(2,096
)
 
(2,116
)
 
(4,674
)
 
(4,650
)
 
(4,645
)
7 years
 
(339
)
 
(334
)
 
(341
)
 
(717
)
 
(717
)
 
(718
)
10 years
 
4,258

 
4,303

 
4,324

 
2,410

 
2,422

 
2,427

Total U.S. Treasury securities, net
 
$
908

 
$
974

 
$
965

 
$
(2,981
)
 
$
(2,945
)
 
$
(2,936
)
Summary of Long and Short Position of Derivative Instruments
The following tables summarize our TBA securities as of March 31, 2015 and December 31, 2014 (in millions):
  
 
 
March 31, 2015
 
December 31, 2014
TBA Securities by Coupon
 
Notional 
Amount - Long (Short) 1
 
Cost
Basis 2
 
Market
Value 3
 
Net Carrying Value 4
 
Notional 
Amount - Long (Short) 1
 
Cost
Basis 2
 
Market
Value 3
 
Net Carrying Value 4
15-Year TBA securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
2.5%
 
$
1,632

 
$
1,670

 
$
1,673

 
$
3

 
$
962

 
$
968

 
$
980

 
$
12

3.0%
 
(2,733
)
 
(2,852
)
 
(2,866
)
 
(14
)
 
2,779

 
2,889

 
2,888

 
(1
)
3.5%
 
(192
)
 
(201
)
 
(203
)
 
(2
)
 
(468
)
 
(495
)
 
(494
)
 
1

4.0%
 
—

 
—

 
—

 
—

 
(13
)
 
(14
)
 
(14
)
 
—

Total 15-Year TBAs
 
(1,293
)
 
(1,383
)
 
(1,396
)
 
(13
)
 
3,260

 
3,348

 
3,360

 
12

30-Year TBA securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
3.0%
 
5,432

 
5,500

 
5,566

 
66

 
5,254

 
5,259

 
5,313

 
54

3.5%
 
3,423

 
3,560

 
3,598

 
38

 
7,902

 
8,151

 
8,232

 
81

4.0%
 
(2,689
)
 
(2,862
)
 
(2,874
)
 
(12
)
 
(1,853
)
 
(2,019
)
 
(1,974
)
 
45

4.5%
 
—

 
—

 
—

 
—

 
(151
)
 
(163
)
 
(163
)
 
—

Total 30-Year TBAs
 
6,166

 
6,198

 
6,290

 
92

 
11,152

 
11,228

 
11,408

 
180

Total net TBA securities
 
$
4,873

 
$
4,815

 
$
4,894

 
$
79

 
$
14,412

 
$
14,576

 
$
14,768

 
$
192

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
March 31, 2015
 
December 31, 2014
TBA Securities by Issuer
 
Notional 
Amount - Long (Short) 1
 
Cost
Basis 2
 
Market
Value 3
 
Net Carrying Value 4
 
Notional 
Amount - Long (Short) 1
 
Cost
Basis 2
 
Market
Value 3
 
Net Carrying Value 4
Fannie Mae
 
$
2,230

 
$
2,125

 
$
2,178

 
$
53

 
$
15,127

 
$
15,316

 
$
15,509

 
$
193

Freddie Mac
 
(957
)
 
(1,021
)
 
(1,025
)
 
(4
)
 
(715
)
 
(740
)
 
(741
)
 
(1
)
Ginnie Mae
 
3,600

 
3,711

 
3,741

 
30

 
—

 
—

 
—

 
—

TBA securities, net
 
$
4,873

 
$
4,815

 
$
4,894

 
$
79

 
$
14,412

 
$
14,576

 
$
14,768

 
$
192


_____________________
1.
Notional amount represents the par value (or principal balance) of the underlying agency security.
2.
Cost basis represents the forward price to be paid / (received) for the underlying agency security.
3.
Market value represents the current market value of the TBA contract (or of the underlying agency security) as of period-end.
4.
Net carrying value represents the difference between the market value and the cost basis of the TBA contract as of period-end and is reported in derivative assets / (liabilities), at fair value in our consolidated balance sheets.
Schedule Of Outstanding Not Designated As Hedging Instruments
The tables below summarize 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, 2015 and 2014 (in millions):

 
 
Three Months Ended March 31, 2015
Derivative and Other Hedging Instruments
 
Notional Amount
Long/(Short)
December 31, 2014
 
Additions
 
Settlement, Termination,
Expiration or
Exercise
 
Notional Amount
Long/(Short) March 31, 2015
 
 
Amount of
Gain/(Loss)
Recognized in
Income on
Derivatives 1
TBA securities, net
 
$
14,412

 
45,500

 
(55,039
)
 
$
4,873

 
 
$
234

Interest rate swaps
 
$
(43,700
)
 
(3,500
)
 
2,275

 
$
(44,925
)
 
 
(746
)
Payer swaptions
 
$
(6,800
)
 
—

 
1,600

 
$
(5,200
)
 
 
(17
)
Receiver swaptions
 
$
4,250

 
—

 
(3,500
)
 
$
750

 
 
17

U.S. Treasury securities - short position
 
$
(5,392
)
 
(4,173
)
 
6,212

 
$
(3,353
)
 
 
(82
)
U.S. Treasury securities - long position
 
$
2,411

 
15,562

 
(13,712
)
 
$
4,261

 
 
52

U.S. Treasury futures contracts - short position
 
$
(730
)
 
(730
)
 
730

 
$
(730
)
 
 
(20
)
 
 
 
 
 
 
 
 
 
 
 
$
(562
)
  ________________________________
1.
Excludes a net gain of $2 million from investments in REIT equity securities and a net gain of $11 million from interest and principal-only securities recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income.

 
 
Three Months Ended March 31, 2014
Derivative and Other Hedging Instruments
 
Notional Amount
Long/(Short)
December 31, 2013
 
Additions
 
Settlement, Termination,
Expiration or
Exercise
 
Notional Amount
 Long/(Short) March 31, 2014
 
 
Amount of
Gain/(Loss)
Recognized in
Income on
Derivatives 1
TBA securities, net
 
$
2,119

 
24,376

 
(12,586
)
 
$
13,909

 
 
$
60

Interest rate swaps
 
$
(43,250
)
 
(5,900
)
 
2,750

 
$
(46,400
)
 
 
(380
)
Payer swaptions
 
$
(14,250
)
 
(1,000
)
 
7,250

 
$
(8,000
)
 
 
(105
)
Receiver swaptions
 
$
—

 
1,000

 
—

 
$
1,000

 
 
—

U.S. Treasury securities - short position
 
$
(2,007
)
 
(7,241
)
 
2,462

 
$
(6,786
)
 
 
(45
)
U.S. Treasury securities - long position
 
$
3,927

 
1,900

 
(5,627
)
 
$
200

 
 
72

U.S. Treasury futures contracts - short position
 
$
(1,730
)
 
(730
)
 
1,730

 
$
(730
)
 
 
(36
)
TBA put option
 
$
—

 
(50
)
 
50

 
$
—

 
 
—

 
 
 
 
 
 
 
 
 
 
 
$
(434
)
  ______________________
1.
Excludes a net gain of $49 million from investments in REIT equity securities, a net loss of $3 million from debt of consolidated VIEs, a net gain of $12 million from interest and principal-only securities and other miscellaneous net losses of $2 million recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income.

Not Designated as Hedging Instrument [Member]  
Derivative [Line Items]  
Schedule Of Interest Rate Swap Agreement By Remaining Maturity
The following tables summarize our interest rate swap agreements outstanding as of March 31, 2015 and December 31, 2014 (dollars in millions):
 
 
March 31, 2015
Payer Interest Rate Swaps
 
Notional
Amount 1
 
Average
Fixed
Pay Rate 2
 
Average
Receive
Rate 3
 
Net
Estimated
Fair Value
 
Average
Maturity
(Years) 4
≤ 3 years
 
$
14,850

 
1.21%
 
0.24%
 
$
(110
)
 
1.9
> 3 to ≤ 5 years
 
10,475

 
1.74%
 
0.26%
 
(149
)
 
4.3
> 5 to ≤ 7 years
 
7,050

 
2.61%
 
0.26%
 
(309
)
 
6.2
> 7 to ≤ 10 years
 
9,825

 
2.45%
 
0.26%
 
(405
)
 
8.2
> 10 years
 
2,725

 
3.15%
 
0.26%
 
(265
)
 
12.5
Total Payer Interest Rate Swaps
 
$
44,925

 
1.94%
 
0.25%
 
$
(1,238
)
 
5.2
   ________________________
1.
Notional amount includes forward starting swaps of $10.1 billion with an average forward start date of 0.9 years and an average maturity of 7.3 years from March 31, 2015.
2.
Average fixed pay rate includes forward starting swaps. Excluding forward starting swaps, the average fixed pay rate was 1.64% as of March 31, 2015.
3.
Average receive rate excludes forward starting swaps.
4.
Average maturity measured from March 31, 2015 through stated maturity date.

 
 
December 31, 2014
Payer Interest Rate Swaps
 
Notional
Amount 1
 
Average
Fixed
Pay Rate 2
 
Average
Receive
Rate 3
 
Net
Estimated
Fair Value
 
Average
Maturity
(Years) 4
≤ 3 years
 
$
12,300

 
1.33%
 
0.21%
 
$
(87
)
 
2.0
> 3 to ≤ 5 years
 
8,975

 
1.63%
 
0.24%
 
(4
)
 
4.2
> 5 to ≤ 7 years
 
7,250

 
2.47%
 
0.23%
 
(139
)
 
6.1
> 7 to ≤ 10 years
 
10,775

 
2.48%
 
0.24%
 
(223
)
 
8.3
> 10 years
 
4,400

 
3.19%
 
0.23%
 
(291
)
 
12.6
Total Payer Interest Rate Swaps
 
$
43,700

 
2.05%
 
0.23%
 
$
(744
)
 
5.8
   ________________________
1.
Notional amount includes forward starting swaps of $12.4 billion with an average forward start date of 1.1 years and an average maturity of 7.9 years from December 31, 2014.
2.
Average fixed pay rate includes forward starting swaps. Excluding forward starting swaps, the average fixed pay rate was 1.68% as of December 31, 2014.
3.
Average receive rate excludes forward starting swaps.
4.
Average maturity measured from December 31, 2014 through stated maturity date.