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Fair Value Measurements
6 Months Ended
Jun. 30, 2021
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 June 30, 2021 and December 31, 2020, 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.
June 30, 2021December 31, 2020
Level 1Level 2Level 3Level 1Level 2Level 3
Assets:
Agency securities
$— $57,896 $— $— $64,836 $— 
Agency securities transferred to consolidated VIEs
— 245 — — 295 — 
Credit risk transfer securities
— 1,105 — — 737 — 
Non-Agency securities
— 553 — — 546 — 
U.S. Treasury securities
397 — — — — — 
Interest rate swaps
— — — — — — 
Swaptions
— 294 — — 116 — 
TBA securities
— 87 — — 275 — 
Total$397 $60,180 $— $— $66,805 $— 
Liabilities:
Debt of consolidated VIEs$— $148 $— $— $177 $— 
Obligation to return U.S. Treasury securities borrowed under reverse repurchase agreements10,920 — — 11,727 — — 
Interest rate swaps
— — — — — — 
TBA securities
— — — — — 
U.S. Treasury futures
— — — — 
Total$10,926 $156 $— $11,729 $177 $— 
Excluded from the table above are financial instruments presented in our consolidated financial statements at cost. The fair value of our repurchase agreements approximated cost as of June 30, 2021 and December 31, 2020, as 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 June 30, 2021 and December 31, 2020 due to their short duration. We estimate the fair value of these instruments carried at cost using "Level 1" or "Level 2" inputs.