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Fair Value Measurements (Tables)
 9 Months Ended
Sep. 30, 2024
Fair Value Disclosures [Abstract]  
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis
The following table provides a summary of our assets and liabilities that are measured at fair value on a recurring basis, as of September 30, 2024 and December 31, 2023, 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.
September 30, 2024December 31, 2023
Level 1Level 2Level 3Level 1Level 2Level 3
Assets:
Agency securities
$— $67,938 $— $— $53,673 $— 
Agency securities transferred to consolidated VIEs
— 106 — — 121 — 
Credit risk transfer securities
— 620 — — 723 — 
Non-Agency securities
— 273 — — 307 — 
U.S. Treasury securities
2,570 — — 1,540 — — 
Interest rate swaps 1
— 96 — — 15 — 
Swaptions
— 2 — — 89 — 
TBA securities— 49 — — 81 — 
SOFR Futures7 — — — — — 
U.S. Treasury futures
3 — — — — — 
Total$2,580 $69,084 $— $1,540 $55,009 $— 
Liabilities:
Debt of consolidated VIEs$— $69 $— $— $80 $— 
Obligation to return U.S. Treasury securities borrowed under reverse repurchase agreements13,009 — — 10,894 — — 
Interest rate swaps 1
— — — — 1 — 
Credit default swaps 1
— — — — — — 
TBA securities— 48 — — 15 — 
U.S. Treasury futures— — — 336 — — 
SOFR Futures5 — — 10 — — 
Total$13,014 $117 $— $11,240 $96 $— 
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1.As of September 30, 2024 and December 31, 2023, 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 $2.9 billion, respectively, based on "Level 2" inputs. As of September 30, 2024 and December 31, 2023, the net fair value of our credit default swaps excluding the recognition of variation margin settlements was a net asset (liability) of $(7) million and $(6) million, respectively, based on "Level 2" inputs. See Notes 2 and 5 for additional details.