v3.26.1
Derivatives
 6 Months Ended
Jun. 30, 2026
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivatives
Derivatives
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
June 30, 2026December 31, 2025
 Notional or
Contractual
Amount		Derivative AssetsDerivative LiabilitiesNotional or
Contractual
Amount		Derivative AssetsDerivative Liabilities
(In millions)
Not designated as hedges
Interest-rate risk management derivatives:
Swaps$621,553 $1,160 ($230)$557,848 $1,148 ($306)
Written options68,480 — (1,420)40,480 — (1,459)
Purchased options120,970 4,291 — 108,030 3,893 — 
Futures87,338 — — 87,007 — — 
Total interest-rate risk management derivatives898,341 5,451 (1,650)793,365 5,041 (1,765)
Mortgage commitment derivatives82,420 39 (23)57,170 28 (15)
CRT-related derivatives(1)
26,193 — (106)26,883 — (155)
Other39,864 50 (703)31,096 73 (601)
Total derivatives not designated as hedges1,046,818 5,540 (2,482)908,514 5,142 (2,536)
Designated as fair value hedges
Interest-rate risk management derivatives:
Swaps124,759 135 (2,390)125,908 198 (2,224)
Total derivatives designated as fair value hedges124,759 135 (2,390)125,908 198 (2,224)
Receivables (payables)199 — 107 — 
Netting adjustments(2)
(4,014)3,999 (3,981)3,979 
Total derivatives portfolio, net$1,171,577 $1,860 ($873)$1,034,422 $1,466 ($781)
(1)Includes derivative instruments related to CRT transactions that are considered freestanding credit enhancements.
(2)Represents counterparty netting and cash collateral netting.
Derivatives Counterparty Credit Risk
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
June 30, 2026December 31, 2025
 Derivative AssetsDerivative LiabilitiesDerivative AssetsDerivative Liabilities
(In millions)
OTC derivatives$5,588 ($4,031)$5,247 ($3,989)
Cleared and exchange-traded derivatives134 (8)77 — 
Mortgage commitment derivatives103 (23)50 (15)
Other49 (810)73 (756)
Total derivatives5,874 (4,872)5,447 (4,760)
Counterparty netting(2,998)2,998 (2,998)2,998 
Cash collateral netting(1)
(1,016)1,001 (983)981 
Net amount presented in the condensed consolidated balance sheets1,860 (873)1,466 (781)
Gross amount not offset in the condensed consolidated balance sheets(2)
(1,493)29 (1,155)— 
Net amount$367 ($844)$311 ($781)
(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.
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) 2Q 20262Q 2025YTD 2026YTD 2025
Interest-rate risk management derivatives:
Swaps$178 ($98)$481 ($415)
Written options79 94 73 220 
Purchased options(159)(141)(144)(357)
Futures96 (10)167 (176)
Total interest-rate risk management derivatives fair value gains (losses)194 (155)577 (728)
Mortgage commitment derivatives(60)(75)162 (183)
CRT-related derivatives(1)
24 (28)56 16 
Other(20)51 (103)162 
Total derivatives not designated as hedges fair value gains (losses)$138 ($207)$692 ($733)
(1)Includes derivative instruments related to CRT transactions that are considered freestanding credit enhancements.
Hedge Accounting
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
2Q 20262Q 2025
(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:$34,275 ($28,265)$32,048 ($26,749)
Interest contracts on mortgage loans held-for-investment:
Gain (loss) on fair value hedging relationships:
Hedged items(372)— 328 — 
Derivatives designated as hedging instruments366 — (341)— 
Interest accruals on hedging instruments38 — 123 — 
Discontinued hedge related basis adjustments amortization74 — 70 — 
Interest contracts on debt(1):
Gain (loss) on fair value hedging relationships:
Hedged items— 132 — (607)
Derivatives designated as hedging instruments— (110)— 611 
Interest accruals on hedging instruments— (107)— (466)
Discontinued hedge related basis adjustment amortization— — — (1)
Total impact of fair value hedge accounting$106 ($85)$180 ($463)
YTD 2026YTD 2025
(In millions)Interest IncomeInterest ExpenseInterest IncomeInterest 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:$67,925 ($56,296)$63,413 ($53,012)
Interest contracts on mortgage loans held-for-investment:
Gain (loss) on fair value hedging relationships:
Hedged items(543)— 1,023 — 
Derivatives designated as hedging instruments439 — (1,113)— 
Interest accruals on hedging instruments94 — 252 — 
Discontinued hedge related basis adjustments amortization127 — 136 — 
Interest contracts on debt(1):
Gain (loss) on fair value hedging relationships:
Hedged items— 372 — (1,408)
Derivatives designated as hedging instruments— (341)— 1,422 
Interest accruals on hedging instruments— (222)— (944)
Discontinued hedge related basis adjustment amortization— 1 — (12)
Total impact of fair value hedge accounting$117 ($190)$298 ($942)
(1)Represents amounts primarily related to long-term debt on our condensed consolidated balance sheets.
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
June 30, 2026
Carrying Amount Assets / (Liabilities)Cumulative Amount of Fair Value Hedging Basis Adjustment Included in the Carrying AmountClosed Portfolio Under the Portfolio Layer Method
(In millions)TotalUnder the Portfolio Layer MethodDiscontinued - Hedge RelatedTotal Amount by Amortized Cost BasisDesignated Amount by UPB
Mortgage loans held-for-investment$1,046,082 ($3,185)($450)($2,735)$41,952 $8,585 
Debt(1)
(87,230)2,449 — 17 — — 
December 31, 2025
Carrying Amount Assets / (Liabilities)Cumulative Amount of Fair Value Hedging Basis Adjustment Included in the Carrying AmountClosed Portfolio Under the Portfolio Layer Method
(In millions)TotalUnder the Portfolio Layer MethodDiscontinued - Hedge RelatedTotal Amount by Amortized Cost BasisDesignated Amount by UPB
Mortgage loans held-for-investment$1,084,479 ($2,768)($330)($2,438)$44,826 $8,585 
Debt(1)
(68,285)2,054 — 15 — — 
(1)Represents amounts primarily related to long-term debt on our condensed consolidated balance sheets.