Document_and_Entity_Informatio
Document and Entity Information (USD $) | 12 Months Ended | ||
In Billions, except Share data, unless otherwise specified | Dec. 31, 2014 | Jan. 31, 2015 | Jun. 30, 2014 |
Document and Entity Information [Abstract] | |||
Document Type | 10-K | ||
Amendment Flag | FALSE | ||
Document Period End Date | 31-Dec-14 | ||
Document Fiscal Year Focus | 2014 | ||
Document Fiscal Period Focus | FY | ||
Entity Registrant Name | American Capital Agency Corp | ||
Entity Central Index Key | 1423689 | ||
Entity Filer Category | Large Accelerated Filer | ||
Current Fiscal Year End Date | -19 | ||
Entity Common Stock, Shares Outstanding | 352,788,707 | ||
Trading Symbol | AGNC | ||
Entity Well-known Seasoned Issuer | Yes | ||
Entity Voluntary Filers | No | ||
Entity Current Reporting Status | Yes | ||
Entity Public Float | $7.30 |
Consolidated_Balance_Sheets
Consolidated Balance Sheets (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Millions, unless otherwise specified | ||
Assets: | ||
Agency securities, at fair value (including pledged securities of $51,629 and $62,205, respectively) | $55,482 | $64,482 |
Agency securities transferred to consolidated variable interest entities, at fair value (pledged securities) | 1,266 | 1,459 |
U.S. Treasury securities, at fair value (including pledged securities of $2,375 and $3,778, respectively) | 2,427 | 3,822 |
REIT equity securities, at fair value | 68 | 237 |
Cash and cash equivalents | 1,720 | 2,143 |
Restricted cash | 713 | 101 |
Derivative assets, at fair value | 408 | 1,194 |
Receivable for securities sold (including pledged securities of $79 and $622, respectively) | 239 | 652 |
Receivable under reverse repurchase agreements | 5,218 | 1,881 |
Other assets | 225 | 284 |
Total assets | 67,766 | 76,255 |
Liabilities: | ||
Repurchase agreements | 50,296 | 63,533 |
Other debt | 761 | 910 |
Payable for agency securities purchased | 843 | 118 |
Derivative liabilities, at fair value | 890 | 422 |
Dividend payable | 85 | 235 |
Obligation to return securities borrowed under reverse repurchase agreements, at fair value | 5,363 | 1,848 |
Accounts payable and other accrued liabilities | 100 | 492 |
Total liabilities | 58,338 | 67,558 |
Stockholders' equity: | ||
Preferred stock - $0.01 par value; 10.0 shares authorized: Redeemable Preferred Stock; $0.01 par value; 6.9 shares issued and outstanding (aggregate liquidation preference of $348 and $173, respectively) | 336 | 167 |
Common stock - $0.01 par value; 600.0 shares authorized; 352.8 and 356.2 shares issued and outstanding, respectively | 4 | 4 |
Additional paid-in capital | 10,332 | 10,406 |
Retained earnings (deficit) | -1,674 | -497 |
Accumulated other comprehensive income | 430 | -1,383 |
Total stockholders' equity | 9,428 | 8,697 |
Total liabilities and stockholders' equity | $67,766 | $76,255 |
Consolidated_Balance_Sheets_Pa
Consolidated Balance Sheets (Parentheticals) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Millions, except Per Share data, unless otherwise specified | ||
Available-for-sale Securities Pledged as Collateral | $51,629 | $62,205 |
Trading Securities Pledged as Collateral | 2,375 | 3,778 |
Assets Pledged included in Receivable for Securities Sold | 79 | 622 |
Preferred Stock, Par or Stated Value Per Share | $0.01 | $0.01 |
Preferred Stock, Shares Authorized | 10 | 10 |
Preferred Stock, Shares Issued | 6.9 | 6.9 |
Preferred Stock, Shares Outstanding | 6.9 | 6.9 |
Pref'd Stock Liquidation Preference | $348 | $173 |
Common Stock, Par or Stated Value Per Share | $0.01 | $0.01 |
Common Stock, Shares Authorized | 600 | 600 |
Common Stock, Shares, Issued | 352.8 | 356.2 |
Common Stock, Shares, Outstanding | 352.8 | 356.2 |
Consolidated_Statements_Of_Com
Consolidated Statements Of Comprehensive Income (USD $) | 3 Months Ended | 12 Months Ended | |||||||||
In Millions, except Per Share data, unless otherwise specified | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 |
Interest income: | |||||||||||
Interest income | $331 | $357 | $385 | $399 | $542 | $558 | $545 | $547 | $1,472 | $2,193 | $2,109 |
Interest expense | 81 | 88 | 95 | 108 | 120 | 145 | 131 | 140 | 372 | 536 | 512 |
Net interest income | 250 | 269 | 290 | 291 | 422 | 413 | 414 | 407 | 1,100 | 1,657 | 1,597 |
Other income, net: | |||||||||||
Gain on sale of agency securities, net | 34 | 14 | 22 | -19 | -667 | -733 | 17 | -26 | 51 | -1,408 | 1,196 |
(Loss) gain on derivative instruments and other securities, net | -572 | -51 | -244 | -378 | 184 | -339 | 1,444 | -98 | -1,243 | 1,191 | -1,353 |
Total other income, net | -538 | -37 | -222 | -397 | -483 | -1,072 | 1,461 | -124 | -1,192 | -217 | -157 |
Expenses: | |||||||||||
Management fees | 30 | 30 | 30 | 29 | 31 | 35 | 37 | 33 | 119 | 136 | 113 |
General and administrative expenses | 5 | 5 | 6 | 6 | 6 | 7 | 9 | 9 | 22 | 32 | 31 |
Total expenses | 35 | 35 | 36 | 35 | 37 | 42 | 46 | 42 | 141 | 168 | 144 |
(Loss) income before income tax | -98 | -701 | 1,829 | 241 | -233 | 1,272 | 1,296 | ||||
Provision for income tax, net | 3 | 0 | 0 | 10 | 0 | 13 | 19 | ||||
Net (loss) income | -323 | 197 | 32 | -141 | -101 | -701 | 1,829 | 231 | -233 | 1,259 | 1,277 |
Dividend on preferred stock | 7 | 7 | 5 | 3 | 3 | 3 | 3 | 3 | 23 | 14 | 10 |
Net (loss) income (attributable) available to common shareholders | -330 | 190 | 27 | -144 | -104 | -704 | 1,826 | 228 | -256 | 1,245 | 1,267 |
Other comprehensive income (loss): | |||||||||||
Unrealized Gains and (Losses), Net | 599 | -253 | 790 | 521 | -311 | 833 | -2,813 | -837 | 1,657 | -3,127 | 1,039 |
Amounts reclassified from accumulated OCI | 35 | 38 | 40 | 43 | 46 | 47 | 48 | 49 | 156 | 189 | 205 |
Derivative Instruments, Gain (Loss) Reclassified from Accumulated OCI into Income, Effective Portion, Net, De-Designated Interest Rate Swaps | -156 | -189 | -205 | ||||||||
Other comprehensive income (loss) | 634 | -215 | 830 | 564 | -265 | 880 | -2,765 | -788 | 1,813 | -2,938 | 1,244 |
Comprehensive income (loss) | 311 | -18 | 862 | 423 | -366 | 179 | -936 | -557 | 1,580 | -1,679 | 2,521 |
Comprehensive income (loss) available (attributable) to common shareholders | $304 | ($25) | $857 | $420 | ($369) | $176 | ($939) | ($560) | $1,557 | ($1,693) | $2,511 |
Weighted average number of common shares outstanding-basic and diluted (shares) | 352.8 | 352.8 | 352.8 | 354.8 | 373 | 390.6 | 396.4 | 356.2 | 353.3 | 379.1 | 303.9 |
Net (loss) income per common share - basic and diluted (dollars per share) | ($0.94) | $0.54 | $0.08 | ($0.41) | ($0.28) | ($1.80) | $4.61 | $0.64 | ($0.72) | $3.28 | $4.17 |
Comprehensive (loss) income per common share - basic and diluted | $0.86 | ($0.07) | $2.43 | $1.18 | ($0.99) | $0.45 | ($2.37) | ($1.57) | $4.41 | ($4.47) | $8.26 |
Consolidated_Statement_of_Stoc
Consolidated Statement of Stockholders' Equity (USD $) | Total | Preferred Stock [Member] | Common Stock [Member] | Additional Paid-in Capital [Member] | Retained Earnings (Accumulated Deficit) [Member] | Accumulated Other Comprehensive Income (Loss) [Member] |
In Millions, unless otherwise specified | ||||||
Balance, value at Dec. 31, 2011 | $6,212 | $0 | $2 | $5,937 | ($38) | $311 |
Balance, Common Stock, shares at Dec. 31, 2011 | 224.2 | |||||
Balance, Preferred Stock, shares at Dec. 31, 2011 | 0 | |||||
Net income (loss) | 1,277 | 1,277 | ||||
Other comprehensive income (loss): | ||||||
Unrealized Gains and (Losses), Net | 1,039 | 1,039 | ||||
Amounts reclassified from accumulated OCI | 205 | 205 | ||||
Issuance of preferred stock | 167 | 167 | ||||
Issuance of common stock, value | 3,601 | 1 | 3,600 | |||
Issuance of common stock, shares | 117.4 | |||||
Repurchase of common stock | -77 | -77 | ||||
Repurchase of common stock shares | -2.7 | |||||
Preferred dividends declared | -10 | -10 | ||||
Common dividends declared | -1,518 | -1,518 | ||||
Balance, value at Dec. 31, 2012 | 10,896 | 167 | 3 | 9,460 | -289 | 1,555 |
Balance, Common Stock, shares at Dec. 31, 2012 | 338.9 | |||||
Balance, Preferred Stock, shares at Dec. 31, 2012 | 6.9 | |||||
Net income (loss) | 1,259 | 1,259 | ||||
Other comprehensive income (loss): | ||||||
Unrealized Gains and (Losses), Net | -3,127 | -3,127 | ||||
Amounts reclassified from accumulated OCI | 189 | 189 | ||||
Issuance of preferred stock | 0 | |||||
Issuance of common stock, value | 1,803 | 1 | 1,802 | |||
Issuance of common stock, shares | 57.5 | |||||
Repurchase of common stock | -856 | -856 | ||||
Repurchase of common stock shares | -40.2 | |||||
Preferred dividends declared | -14 | -14 | ||||
Common dividends declared | -1,453 | -1,453 | ||||
Balance, value at Dec. 31, 2013 | 8,697 | 167 | 4 | 10,406 | -497 | -1,383 |
Balance, Common Stock, shares at Dec. 31, 2013 | 356.2 | 356.2 | ||||
Balance, Preferred Stock, shares at Dec. 31, 2013 | 6.9 | 6.9 | ||||
Net income (loss) | -233 | |||||
Other comprehensive income (loss): | ||||||
Unrealized Gains and (Losses), Net | 1,657 | 1,657 | ||||
Amounts reclassified from accumulated OCI | 156 | 156 | ||||
Issuance of preferred stock | 169 | 169 | ||||
Repurchase of common stock | -74 | -74 | ||||
Repurchase of common stock shares | -3.4 | |||||
Preferred dividends declared | -23 | -23 | ||||
Common dividends declared | -921 | -921 | ||||
Balance, value at Dec. 31, 2014 | $9,428 | $336 | $4 | $10,332 | ($1,674) | $430 |
Balance, Common Stock, shares at Dec. 31, 2014 | 352.8 | 352.8 | ||||
Balance, Preferred Stock, shares at Dec. 31, 2014 | 6.9 | 6.9 |
Consolidated_Statements_Of_Cas
Consolidated Statements Of Cash Flows (USD $) | 12 Months Ended | ||
In Millions, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 |
Operating activities: | |||
Net income (loss) | ($233) | $1,259 | $1,277 |
Adjustments to reconcile net income to net cash provided by operating activities: | |||
Amortization of agency securities premiums and discounts, net | 472 | 517 | 667 |
Amortization of accumulated other comprehensive loss on interest rate swaps de-designated as qualifying hedges | 156 | 189 | 205 |
Gain on sale of agency securities, net | -51 | 1,408 | -1,196 |
Loss (gain) on derivative instruments and other securities, net | 1,243 | -1,191 | 1,353 |
Decrease (increase) in other assets | 55 | -24 | -76 |
Increase (decrease) in accounts payable and other accrued liabilities | -18 | 325 | 86 |
Accretion of discounts on debt of consolidated variable interest entities | -2 | 18 | 5 |
Net cash provided by operating activities | 1,622 | 2,501 | 2,321 |
Investing activities: | |||
Purchases of agency securities | -26,349 | -76,892 | -104,703 |
Proceeds from sale of agency securities | 30,587 | 79,456 | 65,249 |
Principal collections on agency securities | 7,358 | 10,589 | 9,576 |
Purchases of U.S. Treasury securities | -51,511 | -68,261 | -28,196 |
Proceeds from sale of U.S. Treasury securities | 56,068 | 54,952 | 39,012 |
Net (payments on) proceeds from reverse repurchase agreements | -3,337 | 9,937 | -11,055 |
Net proceeds from (payments on) other derivative instruments | 313 | -1,007 | -1,001 |
Purchases of REIT equity securities | -234 | -197 | 0 |
Proceeds from sale of REIT equity securities | 416 | 0 | 0 |
(Increase) decrease in restricted cash | -612 | 298 | -63 |
Other investing cash flows, net | -350 | 0 | 0 |
Net cash provided by (used in) investing activities | 12,349 | 8,875 | -31,181 |
Financing activities: | |||
Proceeds from repurchase arrangements, net | 291,736 | 564,971 | 404,853 |
Repayments on repurchase agreements | -304,973 | -575,916 | -378,056 |
Proceeds from debt of consolidated variable interest entities | 0 | 203 | 1,000 |
Repayments on debt of consolidated variable interest entities | -158 | -209 | -150 |
Net proceeds from preferred stock issuance | 169 | 0 | 167 |
Net proceeds from common stock issuance | 0 | 1,803 | 3,601 |
Payments made on common stock repurchases | -74 | -856 | -77 |
Cash dividends paid | -1,094 | -1,659 | -1,415 |
Net cash (used in) provided by financing activities | -14,394 | -11,663 | 29,923 |
Net change in cash and cash equivalents | -423 | -287 | 1,063 |
Cash and cash equivalents at beginning of period | 2,143 | 2,430 | 1,367 |
Cash and cash equivalents at end of period | 1,720 | 2,143 | 2,430 |
Interest paid | 217 | 347 | 256 |
Taxes paid | $3 | $25 | $10 |
Organization
Organization | 12 Months Ended |
Dec. 31, 2014 | |
Organization [Abstract] | |
Organization | Organization |
We were organized in Delaware on January 7, 2008, and commenced operations on May 20, 2008 following the completion of our initial public offering ("IPO"). Our common stock is traded on The NASDAQ Global Select Market under the symbol "AGNC." | |
We are externally managed by American Capital AGNC Management, LLC (our "Manager"), an affiliate of American Capital, Ltd. ("American Capital"). | |
We operate so as to qualify to be taxed as a real estate investment trust ("REIT") under the Internal Revenue Code of 1986, as amended (the "Internal Revenue Code"). As a REIT, we are required to distribute annually 90% of our taxable net income. As long as we continue to qualify as a REIT, we will generally not be subject to U.S. federal or state corporate taxes on our taxable net income to the extent that we distribute all of our annual taxable net income to our stockholders. It is our intention to distribute 100% of our taxable net income, after application of available tax attributes, within the limits prescribed by the Internal Revenue Code, which may extend into the subsequent taxable year. | |
We earn income primarily from investing on a leveraged basis in agency mortgage-backed securities ("agency MBS"). These investments consist of residential mortgage pass-through securities and collateralized mortgage obligations ("CMOs") for which the principal and interest payments are guaranteed by a government-sponsored enterprise, such as the Federal National Mortgage Association ("Fannie Mae") and the Federal Home Loan Mortgage Corporation ("Freddie Mac"), or by a U.S. Government agency, such as the Government National Mortgage Association ("Ginnie Mae") (collectively referred to as "GSEs"). We may also invest in agency debenture securities issued by Freddie Mac, Fannie Mae or the Federal Home Loan Bank ("FHLB") and in other assets reasonably related to agency securities. | |
Our principal objective is to preserve our net asset value (also referred to as "net book value," "NAV" and "stockholders' equity") while generating attractive risk-adjusted returns for distribution to our stockholders through regular monthly dividends from the combination of our net interest income and net realized gains and losses on our investments and hedging activities. We fund our investments primarily through short-term borrowings structured as repurchase agreements. |
Summary_of_Significant_Account
Summary of Significant Accounting Policies | 12 Months Ended |
Dec. 31, 2014 | |
Accounting Policies [Abstract] | |
Summary of Significant Accounting Policies | Summary of Significant Accounting Policies |
Basis of Presentation and Consolidation | |
Our consolidated financial statements are prepared in accordance with accounting principles generally accepted in the United States ("GAAP"). | |
Our consolidated financial statements include the accounts of our wholly-owned subsidiary, American Capital Agency TRS, LLC, and variable interest entities for which we are the primary beneficiary. Significant intercompany accounts and transactions have been eliminated. | |
Use of Estimates | |
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, disclosure of contingent assets and liabilities at the date of the financial statements and revenues and expenses during the period reported. Actual results could differ from those estimates. | |
Earnings per Share | |
Basic earnings per share ("EPS") is computed by dividing net income by the weighted average number of common shares outstanding during the period. Diluted EPS assumes the conversion, exercise or issuance of all potential common stock equivalents unless the effect is to reduce a loss or increase the income per share. | |
Accumulated Other Comprehensive Income (Loss)Â | |
Accounting Standards Codification ("ASC") Topic 220, Comprehensive Income ("ASC 220"), divides comprehensive income into net income and other comprehensive income (loss) ("OCI"), which includes unrealized gains and losses on securities classified as available-for-sale and unrealized gains and losses on derivative financial instruments that are designated and qualify for cash flow hedge accounting under ASC Topic 815, Derivatives and Hedging ("ASC 815"). During fiscal year 2011, we discontinued designating our derivative financial instruments, principally interest rate swaps, as cash flow hedges. For further information regarding our discontinuation of cash flow hedge accounting, see Derivatives Instruments below and Note 5. | |
Cash and Cash Equivalents | |
Cash and cash equivalents consist of unrestricted demand deposits and highly liquid investments with original maturities of three months or less. Cash and cash equivalents are carried at cost, which approximates fair value. | |
Restricted Cash | |
Restricted cash includes cash pledged as collateral for clearing and executing trades, repurchase agreements, interest rate swaps and other derivative instruments. Restricted cash is carried at cost, which approximates fair value. | |
Investment Securities | |
ASC Topic 320, Investments—Debt and Equity Securities ("ASC 320"), requires that at the time of purchase, we designate a security as held-to-maturity, available-for-sale or trading, depending on our ability and intent to hold such security to maturity. Securities classified as trading and available-for-sale are reported at fair value, while securities classified as held-to-maturity are reported at amortized cost. We may sell any of our agency securities as part of our overall management of our investment portfolio. Accordingly, we typically designate our agency securities as available-for-sale. All securities classified as available-for-sale are reported at fair value, with unrealized gains and losses reported in accumulated OCI, a separate component of stockholders' equity. Upon the sale of a security, we determine the cost of the security and the amount of unrealized gains or losses to reclassify out of accumulated OCI into earnings based on the specific identification method. | |
Interest-only securities and inverse interest-only securities (collectively referred to as "interest-only securities") represent our right to receive a specified proportion of the contractual interest flows of specific agency CMO securities. Principal-only securities represent our right to receive the contractual principal flows of specific agency CMO securities. Interest and principal-only securities are measured at fair value through earnings in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Our investments in interest and principal-only securities are included in agency securities, at fair value on the accompanying consolidated balance sheets. | |
REIT equity securities represent investments in the common stock of other publicly traded mortgage REITs that invest predominantly in agency MBS. We designate our investments in REIT equity securities as trading securities and report them at fair value on the accompanying consolidated balance sheets. | |
We estimate the fair value of our agency securities based on a market approach using "Level 2" inputs from third-party pricing services and non-binding dealer quotes derived from common market pricing methods. Such methods incorporate, but are not limited to, reported trades and executable bid and asked prices for similar securities, benchmark interest rate curves, such as the spread to the U.S. Treasury rate and interest rate swap curves, convexity, duration and the underlying characteristics of the particular security, including coupon, periodic and life caps, rate reset period, issuer, additional credit support and expected life of the security. We estimate the fair value of our REIT equity securities on a market approach using "Level 1" inputs based on quoted market prices. Refer to Note 7 for further discussion of fair value measurements. | |
We evaluate our agency securities for other-than-temporary impairment ("OTTI") on at least a quarterly basis. The determination of whether a security is other-than-temporarily impaired may involve judgments and assumptions based on subjective and objective factors. When a security is impaired, an OTTI is considered to have occurred if any one of the following three conditions exists as of the financial reporting date: (i)Â we intend to sell the security (that is, a decision has been made to sell the security), (ii)Â it is more likely than not that we will be required to sell the security before recovery of its amortized cost basis or (iii) we do not expect to recover the security's amortized cost basis, even if we do not intend to sell the security and it is not more likely than not that we will be required to sell the security. A general allowance for unidentified impairments in a portfolio of securities is not permitted. | |
If either of the first two conditions exists as of the financial reporting date, the entire amount of the impairment loss, if any, is recognized in earnings as a realized loss and the cost basis of the security is adjusted to its fair value. However, with respect to the first condition, since the liquidity of the agency securities market allows us to obtain competitive bids and execute on a sale transaction typically within a day of making the decision to sell a security, we generally do not make decisions to sell specific agency securities until shortly prior to initiating a sell order. In some instances, we may sell specific agency securities by delivering the securities into existing short to-be-announced ("TBA") contracts. TBA market conventions require the identification of the specific securities to be delivered no later than 48 hours prior to settlement. If we settle a short TBA contract through the delivery of securities, we will generally identify the specific securities to be delivered within one to two days before the 48-hour deadline. | |
If the third condition exists, the OTTI is separated into (i) the amount relating to credit loss (the "credit component") and (ii) the amount relating to all other factors (the "non-credit components"). Only the credit component is recognized in earnings, with the non-credit components recognized in OCI. However, in evaluating if the third condition exists, our investments in agency securities typically would not have a credit component since the principal and interest are guaranteed by a GSE and, therefore, any unrealized loss is not the result of a credit loss. In addition, since we designate our agency securities as available-for-sale securities with unrealized gains and losses recognized in OCI, any impairment loss for non-credit components is already recognized in OCI. | |
We did not recognize any OTTI charges on our investment securities for fiscal years 2014, 2013 or 2012. | |
Interest Income | |
Interest income is accrued based on the outstanding principal amount of the investment securities and their contractual terms. Premiums or discounts associated with the purchase of investment securities are amortized or accreted into interest income, respectively, over the projected lives of the securities, including contractual payments and estimated prepayments using the effective interest method in accordance with ASC Subtopic 310-20, Receivables—Nonrefundable Fees and Other Costs ("ASC 310-20"). | |
We estimate long-term prepayment speeds of our agency securities using a third-party service and market data. The third-party service estimates prepayment speeds using models that incorporate the forward yield curve, current mortgage rates and mortgage rates of the outstanding loans, age and size of the outstanding loans, loan-to-value ratios, volatility and other factors. We review the prepayment speeds estimated by the third-party service and compare the results to market consensus prepayment speeds, if available. We also consider historical prepayment speeds and current market conditions to validate the reasonableness of the prepayment speeds estimated by the third-party service and, based on our Manager's judgment, we may make adjustments to its estimates. Actual and anticipated prepayment experience is reviewed quarterly and effective yields are recalculated when differences arise between (i) our previously estimated future prepayments and (ii) the actual prepayments to date plus our currently estimated future prepayments. If the actual and estimated future prepayment experience differs from our prior estimate of prepayments, we are required to record an adjustment in the current period to the amortization or accretion of premiums and discounts for the cumulative difference in the effective yield through the reporting date. | |
Repurchase Agreements | |
We finance the acquisition of securities for our investment portfolio through repurchase transactions under master repurchase agreements. Pursuant to ASC Topic 860, Transfers and Servicing ("ASC 860"), we account for repurchase transactions as collateralized financing transactions, which are carried at their contractual amounts (cost), plus accrued interest, as specified in the respective transactions. Our repurchase agreements typically have maturities of less than one year, but may extend up to five years or more. Interest rates under our repurchase agreements generally correspond to one, three or six month LIBOR plus or minus a fixed spread. The fair value of our repurchase agreements is assumed to equal cost as the interest rates are considered to be at market. | |
Reverse Repurchase Agreements and Obligation to Return Securities Borrowed under Reverse Repurchase Agreements | |
We from time to time borrow securities to cover short sales of U.S. Treasury securities through reverse repurchase transactions under our master repurchase agreements (see Derivatives Instruments below). We account for these as securities borrowing transactions and recognize an obligation to return the borrowed securities at fair value on the balance sheet based on the value of the underlying borrowed securities as of the reporting date. Our reverse repurchase agreements generally mature daily. The fair value of our reverse repurchase agreements is assumed to equal cost as the interest rates are generally reset daily. | |
Derivative Instruments | |
We use a variety of derivative instruments to hedge a portion of our exposure to market risks, including interest rate risk, prepayment risk and extension risk. The objective of our risk management strategy is to reduce fluctuations in net book value over a range of interest rate scenarios. In particular, we attempt to mitigate the risk of the cost of our variable rate liabilities increasing during a period of rising interest rates. The principal instruments that we use are interest rate swaps and options to enter into interest rate swaps ("swaptions"). We also utilize forward contracts for the purchase or sale of agency MBS securities on a generic pool basis, or a TBA contract, and we utilize U.S. Treasury securities and U.S. Treasury futures contracts, primarily through short sales. We may also purchase or write put or call options on TBA securities and we may invest in other types of mortgage derivatives, such as interest and principal-only securities. | |
We may also enter into TBA contracts as a means of investing in and financing agency securities (thereby increasing our "at risk" leverage) or as a means of disposing of or reducing our exposure to agency securities (thereby reducing our "at risk" leverage). Pursuant to TBA contracts, we agree to purchase or sell, for future delivery, agency securities with certain principal and interest terms and certain types of collateral, but the particular agency securities to be delivered are not identified until shortly before the TBA settlement date. We may also choose, prior to settlement, to move the settlement of these securities out to a later date by entering into an offsetting short or long position (referred to as a "pair off"), net settling the paired off positions for cash, and simultaneously purchasing or selling a similar TBA contract for a later settlement date. This transaction is commonly referred to as a "dollar roll." The agency securities purchased or sold for a forward settlement date are typically priced at a discount to agency securities for settlement in the current month. This difference (or discount) is referred to as the "price drop." The price drop is the economic equivalent of net interest carry income on the underlying agency securities over the roll period (interest income less implied financing cost) and is commonly referred to as "dollar roll income/loss." Consequently, forward purchases of agency securities and dollar roll transactions represent a form of off-balance sheet financing. | |
We account for derivative instruments in accordance with ASC Topic 815, Derivatives and Hedging ("ASC 815"). ASC 815 requires an entity to recognize all derivatives as either assets or liabilities in the balance sheet and to measure those instruments at fair value. | |
Our derivative agreements generally contain provisions that allow for netting or setting off derivative assets and liabilities with the counterparty; however, we report related assets and liabilities on a gross basis in our consolidated balance sheets. Derivative instruments in a gain position are reported as derivative assets at fair value and derivative instruments in a loss position are reported as derivative liabilities at fair value in our consolidated balance sheets. Changes in fair value of derivative instruments and periodic settlements related to our derivative instruments are recorded in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Cash receipts and payments related to derivative instruments are classified in our consolidated statements of cash flows according to the underlying nature or purpose of the derivative transaction, generally in the investing section. | |
The use of derivative instruments creates exposure to credit risk relating to potential losses that could be recognized in the event that the counterparties to these instruments fail to perform their obligations under the contracts. We attempt to minimize this risk by limiting our counterparties to major financial institutions with acceptable credit ratings, monitoring positions with individual counterparties and adjusting posted collateral as required. | |
Discontinuation of hedge accounting for interest rate swap agreements | |
Prior to September 30, 2011, we entered into interest rate swap agreements typically with the intention of qualifying for hedge accounting under ASC 815. However, as of September 30, 2011, we elected to discontinue hedge accounting for our interest rate swaps. Upon discontinuation of hedge accounting, the net deferred loss related to our de-designated interest rate swaps remained in accumulated OCI and is being reclassified from accumulated OCI into interest expense on a straight-line basis over the remaining term of each interest rate swap. | |
Interest rate swap agreements | |
We use interest rate swaps to hedge the variable cash flows associated with borrowings made under our repurchase agreement facilities. Under our interest rate swap agreements, we typically pay a fixed rate and receive a floating rate based on one, three or six-month LIBOR ("payer swaps") with terms up to 20 years. The floating rate we receive under our swap agreements has the effect of offsetting the repricing characteristics of our repurchase agreements and cash flows on such liabilities. Our swap agreements are privately negotiated in the over−the−counter ("OTC") market, with swap agreements entered into subsequent to May 2013 subject to central clearing through a registered commodities exchange ("centrally cleared swaps"). | |
We estimate the fair value of our centrally cleared interest rate swaps using the daily settlement price determined by the respective exchange. Centrally cleared swaps are valued by the exchange using a pricing model that references the underlying rates including the overnight index swap rate and LIBOR forward rate to produce the daily settlement price. | |
We estimate the fair value of our "non-centrally cleared" swaps using a combination of inputs from counterparty and third-party pricing models to estimate the net present value of the future cash flows using the forward interest rate yield curve in effect as of the end of the measurement period. We also incorporate both our own and our counterparties' nonperformance risk in estimating the fair value of our interest rate swaps. In considering the effect of nonperformance risk, we consider the impact of netting and credit enhancements, such as collateral postings and guarantees, and have concluded that our own and our counterparty risk is not significant to the overall valuation of these agreements. | |
Interest rate swaptions | |
We purchase interest rate swaptions generally to help mitigate the potential impact of larger, more rapid changes in interest rates on the performance of our investment portfolio. Interest rate swaptions provide us the option to enter into an interest rate swap agreement for a predetermined notional amount, stated term and pay and receive interest rates in the future. Our swaption agreements typically provide us the option to enter into a pay fixed rate interest rate swap, which we refer as "payer swaptions." We may also enter into swaption agreements that provide us the option to enter into a receive fixed interest rate swap, which we refer to as "receiver swaptions." The premium paid for interest rate swaptions is reported as an asset in our consolidated balance sheets. The premium is valued at an amount equal to the fair value of the swaption that would have the effect of closing the position adjusted for nonperformance risk, if any. The difference between the premium and the fair value of the swaption is reported in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. If a swaption expires unexercised, the realized loss on the swaption would be equal to the premium paid. If we sell or exercise a swaption, the realized gain or loss on the swaption would be equal to the difference between the cash or the fair value of the underlying interest rate swap received and the premium paid. | |
Our interest rate swaption agreements are privately negotiated in the OTC market and are not subject to central clearing. We estimate the fair value of interest rate swaptions using a combination of inputs from counterparty and third-party pricing models based on the fair value of the future interest rate swap that we have the option to enter into as well as the remaining length of time that we have to exercise the option, adjusted for non-performance risk, if any. | |
TBA securities | |
A TBA security is a forward contract for the purchase ("long position") or sale ("short position") of agency MBS at a predetermined price, face amount, issuer, coupon and stated maturity on an agreed-upon future date. The specific agency MBS delivered into the contract upon the settlement date, published each month by the Securities Industry and Financial Markets Association, are not known at the time of the transaction. We may enter into TBA contracts as a means of hedging against short-term changes in interest rates. We may also enter into TBA contracts as a means of acquiring or disposing of agency securities and we may from time to time utilize TBA dollar roll transactions to finance agency MBS purchases. | |
We account for TBA contracts as derivative instruments since either the TBA contracts do not settle in the shortest period of time possible or we cannot assert that it is probable at inception and throughout the term of the TBA contract that we will take physical delivery of the agency security upon settlement of the contract. We account for TBA dollar roll transactions as a series of derivative transactions. Gains, losses and dollar roll income associated with our TBA contracts and dollar roll transactions are recognized in our consolidated statements of comprehensive income in gain (loss) on derivative instruments and other securities, net. | |
We estimate the fair value of TBA securities based on similar methods used to value our agency MBS securities. | |
U.S. Treasury securities | |
We purchase or sell short U.S. Treasury securities and U.S. Treasury futures contracts to help mitigate the potential impact of changes in interest rates on the performance of our portfolio. We borrow securities to cover short sales of U.S. Treasury securities under reverse repurchase agreements. We account for these as securities borrowing transactions and recognize an obligation to return the borrowed securities at fair value on the balance sheet based on the value of the underlying borrowed securities as of the reporting date. Gains and losses associated with purchases and short sales of U.S. Treasury securities and U.S. Treasury futures contracts are recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. | |
Variable Interest Entities | |
ASC Topic 810, Consolidation ("ASC 810"), requires an enterprise to consolidate a variable interest entity ("VIE") if it is deemed the primary beneficiary of the VIE. Further, ASC 810 requires a qualitative assessment to determine the primary beneficiary of a VIE and ongoing assessments of whether an enterprise is the primary beneficiary of a VIE as well as additional disclosures for entities that have variable interests in VIEs. | |
We have entered into transactions involving CMO trusts, which are VIEs. We will consolidate a CMO trust if we are the CMO trust's primary beneficiary; that is, if we have a variable interest that provides us with a controlling financial interest in the CMO trust. An entity is deemed to have a controlling financial interest if the entity has the power to direct the activities of a VIE that most significantly impact the VIE's economic performance and the obligation to absorb losses of or right to receive benefits from the VIE that could potentially be significant to the VIE. As part of the qualitative assessment in determining if we have a controlling financial interest, we evaluate whether we control the selection of financial assets transferred to the CMO trust. For each of our consolidated CMO trusts we controlled the selection of the agency MBS transferred from our investment portfolio to an investment bank in exchange for cash proceeds and at the same time entered into a commitment with the investment bank to purchase to-be-issued securities collateralized by the agency MBS transferred, which resulted in our consolidation of the CMO trusts. | |
Agency MBS transferred to consolidated VIEs are reported on our consolidated balance sheets in agency securities transferred to consolidated VIEs, at fair value and can only be used to settle the obligations of each respective VIE. We elected the option to account for the consolidated debt at fair value, with changes in fair value reflected in earnings during the period in which they occur, because we believe this election more appropriately reflects our financial position as both the consolidated assets and consolidated debt are presented in a consistent manner on our consolidated balance sheets. | |
We estimate the fair value of the consolidated debt based on the fair value of the agency MBS transferred to consolidated VIEs, less the fair value of our retained interests, which are measured on a market approach using "Level 2" inputs from third-party pricing services and dealer quotes. | |
Manager Compensation | |
Our management agreement provides for the payment to our Manager of a management fee and reimbursement of certain operating expenses, which are accrued and expensed during the period for which they are earned or incurred. Refer to Note 8 for the terms of our management agreement and the administrative services agreement between American Capital and our Manager. | |
Income Taxes | |
We elected to be taxed as a REIT under the provisions of the Internal Revenue Code and the corresponding provisions of state law, commencing with our initial tax year ended December 31, 2008. In order to continue to qualify as a REIT, we must annually distribute, in a timely manner to our stockholders, at least 90% of our taxable ordinary income, amongst other conditions. A REIT is not subject to tax on its earnings to the extent that it distributes its annual taxable income to its stockholders and as long as certain asset, income and stock ownership tests are met. We operate in a manner that will allow us to be taxed as a REIT. As permitted by the Internal Revenue Code, a REIT can designate dividends paid in the subsequent year as dividends of the current year if those dividends are both declared by the extended due date of the REIT's federal income tax return and paid to stockholders by the last day of the subsequent year. | |
As a REIT, if we fail to distribute in any calendar year at least the sum of (i) 85% of our ordinary income for such year, (ii) 95% of our capital gain net income for such year and (iii) any undistributed taxable income from the prior year, we are subject to a non-deductible 4% excise tax on the excess of such required distribution over the sum of (a) the amounts actually distributed and, if applicable, (b) the amounts of income we retained and on which we have paid corporate income tax. Dividends declared by December 31 and paid by January 31 are treated as having been a distribution of our taxable income for the prior tax year. | |
We and our domestic subsidiary, American Capital Agency TRS, LLC, have made a joint election to treat our subsidiary as a taxable REIT subsidiary. As such, American Capital Agency TRS, LLC, is subject to federal and state income tax. | |
We evaluate uncertain income tax positions, if any, in accordance with ASC Topic 740, Income Taxes ("ASC 740"). To the extent we incur interest and/or penalties in connection with our tax obligations, such amounts shall be classified as income tax expense on our consolidated statements of operations. |
Investment_Securities_Investme
Investment Securities Investment Securities (Notes) | 12 Months Ended | ||||||||||||||||||||||||
Dec. 31, 2014 | |||||||||||||||||||||||||
Schedule of Investments [Abstract] | |||||||||||||||||||||||||
IInvestment Securities | Investment Securities | ||||||||||||||||||||||||
As of December 31, 2014 and 2013, our investment portfolio consisted of $56.7 billion and $65.9 billion of agency MBS, respectively, and a $14.8 billion and $2.3 billion net long TBA position, at fair value, respectively. | |||||||||||||||||||||||||
Our TBA positions are reported at their net carrying value of $192 million and $(5) million as of December 31, 2014 and 2013, respectively, in derivative assets/(liabilities) on our accompanying consolidated balance sheets. The net carrying value of our TBA position represents the difference between the fair value of the underlying agency security in the TBA contract and the cost basis or the forward price to be paid or received for the underlying agency security. (See Note 5 for further details of our net TBA position as of December 31, 2014 and 2013.) | |||||||||||||||||||||||||
As of December 31, 2014 and 2013, the net unamortized premium balance on our agency MBS was $2.5 billion and $3.0 billion, respectively, including interest and principal-only strips. | |||||||||||||||||||||||||
The following tables summarize our investments in agency MBS as of December 31, 2014 and 2013 (dollars in millions): | |||||||||||||||||||||||||
31-Dec-14 | |||||||||||||||||||||||||
Agency MBS | Amortized | Gross | Gross | Fair Value | |||||||||||||||||||||
Cost | Unrealized | Unrealized | |||||||||||||||||||||||
Gain | Loss | ||||||||||||||||||||||||
Fixed rate | $ | 53,945 | $ | 715 | $ | (187 | ) | $ | 54,473 | ||||||||||||||||
Adjustable rate | 659 | 19 | — | 678 | |||||||||||||||||||||
CMO | 1,172 | 24 | (1 | ) | 1,195 | ||||||||||||||||||||
Interest-only and principal-only strips | 372 | 33 | (3 | ) | 402 | ||||||||||||||||||||
Total agency MBS | $ | 56,148 | $ | 791 | $ | (191 | ) | $ | 56,748 | ||||||||||||||||
December 31, 2013 | |||||||||||||||||||||||||
Agency MBS | Amortized | Gross | Gross | Fair Value | |||||||||||||||||||||
Cost | Unrealized | Unrealized | |||||||||||||||||||||||
Gain | Loss | ||||||||||||||||||||||||
Fixed rate | $ | 64,057 | $ | 242 | $ | (1,338 | ) | $ | 62,961 | ||||||||||||||||
Adjustable rate | 1,223 | 15 | (3 | ) | 1,235 | ||||||||||||||||||||
CMO | 1,313 | 3 | (8 | ) | 1,308 | ||||||||||||||||||||
Interest-only and principal-only strips | 432 | 16 | (11 | ) | 437 | ||||||||||||||||||||
Total agency MBS | $ | 67,025 | $ | 276 | $ | (1,360 | ) | $ | 65,941 | ||||||||||||||||
31-Dec-14 | |||||||||||||||||||||||||
Agency MBS | Fannie Mae | Freddie Mac | Ginnie Mae | Total | |||||||||||||||||||||
Available-for-sale agency MBS: | |||||||||||||||||||||||||
Agency MBS, par | $ | 42,749 | $ | 10,566 | $ | 107 | $ | 53,422 | |||||||||||||||||
Unamortized discount | (37 | ) | (5 | ) | — | (42 | ) | ||||||||||||||||||
Unamortized premium | 1,880 | 514 | 2 | 2,396 | |||||||||||||||||||||
Amortized cost | 44,592 | 11,075 | 109 | 55,776 | |||||||||||||||||||||
Gross unrealized gains | 610 | 145 | 3 | 758 | |||||||||||||||||||||
Gross unrealized losses | (127 | ) | (61 | ) | — | (188 | ) | ||||||||||||||||||
Total available-for-sale agency MBS, at fair value | 45,075 | 11,159 | 112 | 56,346 | |||||||||||||||||||||
Agency MBS remeasured at fair value through earnings: | |||||||||||||||||||||||||
Interest-only and principal-only strips, amortized cost 1 | 348 | 24 | — | 372 | |||||||||||||||||||||
Gross unrealized gains | 30 | 3 | — | 33 | |||||||||||||||||||||
Gross unrealized losses | (2 | ) | (1 | ) | — | (3 | ) | ||||||||||||||||||
Total agency MBS remeasured at fair value through earnings | 376 | 26 | — | 402 | |||||||||||||||||||||
Total agency MBS, at fair value | $ | 45,451 | $ | 11,185 | $ | 112 | $ | 56,748 | |||||||||||||||||
Weighted average coupon as of December 31, 2014 2 | 3.63 | % | 3.7 | % | 3.52 | % | 3.65 | % | |||||||||||||||||
Weighted average yield as of December 31, 2014 3 | 2.75 | % | 2.73 | % | 1.87 | % | 2.74 | % | |||||||||||||||||
Weighted average yield for the year ended December 31, 2014 3 | 2.62 | % | 2.64 | % | 1.66 | % | 2.63 | % | |||||||||||||||||
 ________________________ | |||||||||||||||||||||||||
1 | The underlying unamortized principal balance ("UPB" or "par value") of our interest-only agency MBS strips was $1.2 billion and the weighted average contractual interest we are entitled to receive was 5.46% of this amount as of December 31, 2014. The par value of our principal-only agency MBS strips was $242 million as of December 31, 2014. | ||||||||||||||||||||||||
2 | The weighted average coupon includes the interest cash flows from our interest-only agency MBS strips taken together with the interest cash flows from our fixed rate, adjustable-rate and CMO agency MBS as a percentage of the par value of our agency MBS (excluding the UPB of our interest-only securities) as of December 31, 2014. | ||||||||||||||||||||||||
3 | Incorporates a weighted average future constant prepayment rate assumption of 9% based on forward rates as of December 31, 2014. | ||||||||||||||||||||||||
December 31, 2013 | |||||||||||||||||||||||||
Agency MBS | Fannie Mae | Freddie Mac | Ginnie Mae | Total | |||||||||||||||||||||
Available-for-sale agency MBS: | |||||||||||||||||||||||||
Agency MBS, par | $ | 50,914 | $ | 12,640 | $ | 223 | $ | 63,777 | |||||||||||||||||
Unamortized discount | (25 | ) | (7 | ) | — | (32 | ) | ||||||||||||||||||
Unamortized premium | 2,210 | 631 | 7 | 2,848 | |||||||||||||||||||||
Amortized cost | 53,099 | 13,264 | 230 | 66,593 | |||||||||||||||||||||
Gross unrealized gains | 181 | 74 | 5 | 260 | |||||||||||||||||||||
Gross unrealized losses | (991 | ) | (358 | ) | — | (1,349 | ) | ||||||||||||||||||
Total available-for-sale agency MBS, at fair value | 52,289 | 12,980 | 235 | 65,504 | |||||||||||||||||||||
Agency MBS remeasured at fair value through earnings: | |||||||||||||||||||||||||
Interest-only and principal-only strips, amortized cost 1 | 400 | 32 | — | 432 | |||||||||||||||||||||
Gross unrealized gains | 13 | 3 | — | 16 | |||||||||||||||||||||
Gross unrealized losses | (9 | ) | (2 | ) | — | (11 | ) | ||||||||||||||||||
Total agency MBS remeasured at fair value through earnings | 404 | 33 | — | 437 | |||||||||||||||||||||
Total agency MBS, at fair value | $ | 52,693 | $ | 13,013 | $ | 235 | $ | 65,941 | |||||||||||||||||
Weighted average coupon as of December 31, 2013 2 | 3.53 | % | 3.78 | % | 3.56 | % | 3.58 | % | |||||||||||||||||
Weighted average yield as of December 31, 2013 3 | 2.66 | % | 2.87 | % | 1.66 | % | 2.7 | % | |||||||||||||||||
Weighted average yield for the year ended December 31, 2013 3 | 2.74 | % | 2.87 | % | 1.79 | % | 2.77 | % | |||||||||||||||||
 ________________________ | |||||||||||||||||||||||||
1 | The underlying UPB of our interest-only agency MBS strips was $1.4 billion and the weighted average contractual interest we are entitled to receive was 5.50% of this amount as of December 31, 2013. The par value of our principal-only agency MBS strips was $271 million as of December 31, 2013. | ||||||||||||||||||||||||
2 | The weighted average coupon includes the interest cash flows from our interest-only agency MBS strips taken together with the interest cash flows from our fixed rate, adjustable-rate and CMO agency MBS as a percentage of the par value of our agency MBS (excluding the UPB of our interest-only securities) as of December 31, 2013. | ||||||||||||||||||||||||
3 | Incorporates a weighted average future constant prepayment rate assumption of 7% based on forward rates as of December 31, 2013. | ||||||||||||||||||||||||
The actual maturities of our agency MBS are generally shorter than the stated contractual maturities. Actual maturities are affected by the contractual lives of the underlying mortgages, periodic contractual principal payments and principal prepayments. As of December 31, 2014 and 2013, our weighted average expected constant prepayment rate ("CPR") over the remaining life of our aggregate agency MBS portfolio was 9% and 7%, respectively. Our estimates differ materially for different types of securities and thus individual holdings have a wide range of projected CPRs. We estimate long-term prepayment assumptions for different securities using a third-party service and market data. The third-party service estimates prepayment speeds using models that incorporate the forward yield curve, current mortgage rates and mortgage rates of the outstanding loans, age and size of the outstanding loans, loan-to-value ratios, volatility and other factors. We review the prepayment speeds estimated by the third-party service and compare the results to market consensus prepayment speeds, if available. We also consider historical prepayment speeds and current market conditions to validate reasonableness. As market conditions may change rapidly, we may make adjustments for different securities based on our Manager's judgment. Various market participants could use materially different assumptions. | |||||||||||||||||||||||||
The following table summarizes our agency MBS classified as available-for-sale as of December 31, 2014 and 2013 according to their estimated weighted average life classification (dollars in millions): | |||||||||||||||||||||||||
31-Dec-14 | December 31, 2013 | ||||||||||||||||||||||||
Estimated Weighted Average Life of Agency MBS Classified as Available-for-Sale 1 | Fair Value | Amortized | Weighted | Weighted | Fair Value | Amortized | Weighted | Weighted | |||||||||||||||||
Cost | Average | Average | Cost | Average | Average | ||||||||||||||||||||
Coupon | Yield | Coupon | Yield | ||||||||||||||||||||||
≤ 1 year | $ | — | $ | — | —% | —% | $ | 129 | $ | 129 | 3.07% | 2.53% | |||||||||||||
> 1 year and ≤ 3 years | 289 | 280 | 4.08% | 2.62% | 498 | 491 | 4.08% | 2.25% | |||||||||||||||||
> 3 years and ≤ 5 years | 22,153 | 21,820 | 3.26% | 2.40% | 24,471 | 24,342 | 3.59% | 2.57% | |||||||||||||||||
> 5 years and ≤10 years | 33,271 | 33,055 | 3.73% | 2.92% | 38,522 | 39,635 | 3.39% | 2.73% | |||||||||||||||||
> 10 years | 633 | 621 | 3.28% | 3.15% | 1,884 | 1,996 | 3.66% | 2.96% | |||||||||||||||||
Total | $ | 56,346 | $ | 55,776 | 3.54% | 2.72% | $ | 65,504 | $ | 66,593 | 3.47% | 2.68% | |||||||||||||
 _______________________ | |||||||||||||||||||||||||
1 | Excludes interest and principal-only strips. | ||||||||||||||||||||||||
The weighted average life of our interest-only strips was 6.0 and 6.3 years as of December 31, 2014 and 2013, respectively. The weighted average life of our principal-only strips was 8.1 and 8.6 years as of December 31, 2014 and 2013, respectively. | |||||||||||||||||||||||||
Our agency securities classified as available-for-sale are reported at fair value, with unrealized gains and losses excluded from earnings and reported in accumulated OCI. The following table summarizes changes in accumulated OCI, a separate component of stockholders' equity, for our available-for-sale securities for fiscal years 2014, 2013 and 2012 (in millions):Â | |||||||||||||||||||||||||
Agency Securities Classified as | Beginning Accumulated OCI | Unrealized | Reversal of | Ending | |||||||||||||||||||||
Available-for-Sale | Balance | Gains and (Losses), Net | Unrealized | Accumulated | |||||||||||||||||||||
(Gains) and Losses, | OCI | ||||||||||||||||||||||||
Net on Realization | Balance | ||||||||||||||||||||||||
Fiscal year 2014 | $ | (1,087 | ) | 1,708 | (51 | ) | $ | 570 | |||||||||||||||||
Fiscal year 2013 | $ | 2,040 | (4,535 | ) | 1,408 | $ | (1,087 | ) | |||||||||||||||||
Fiscal year 2012 | $ | 1,001 | 2,235 | (1,196 | ) | $ | 2,040 | ||||||||||||||||||
The following table presents the gross unrealized loss and fair values of our available-for-sale agency securities by length of time that such securities have been in a continuous unrealized loss position as of December 31, 2014 and 2013 (in millions): | |||||||||||||||||||||||||
Unrealized Loss Position For | |||||||||||||||||||||||||
Less than 12 Months | 12 Months or More | Total | |||||||||||||||||||||||
Agency Securities Classified as | Estimated Fair | Unrealized | Estimated | Unrealized | Estimated Fair | Unrealized | |||||||||||||||||||
Available-for-Sale | Value | Loss | Fair Value | Loss | Value | Loss | |||||||||||||||||||
December 31, 2014 | $ | 778 | $ | (2 | ) | $ | 11,679 | $ | (186 | ) | $ | 12,457 | $ | (188 | ) | ||||||||||
December 31, 2013 | $ | 42,853 | $ | (1,248 | ) | $ | 1,586 | $ | (101 | ) | $ | 44,439 | $ | (1,349 | ) | ||||||||||
As of the end of each respective reporting period, a decision had not been made to sell any of these agency securities and we do not believe it is more likely than not we will be required to sell the agency securities before recovery of their amortized cost basis. The unrealized losses on these agency securities are not due to credit losses given the GSE guarantees, but are rather due to changes in interest rates and prepayment expectations. Accordingly, we did not recognize any OTTI charges on our investment securities for fiscal years 2014 and 2013. However, as we continue to actively manage our portfolio, we may recognize additional realized losses on our agency securities upon selecting specific securities to sell. | |||||||||||||||||||||||||
Gains and Losses | |||||||||||||||||||||||||
The following table is a summary of our net gain (loss) from the sale of agency securities classified as available-for-sale for fiscal years 2014, 2013 and 2012 (in millions):Â | |||||||||||||||||||||||||
Fiscal Year | |||||||||||||||||||||||||
Agency Securities Classified as | 2014 | 2013 | 2012 | ||||||||||||||||||||||
Available-for-Sale | |||||||||||||||||||||||||
Agency MBS sold, at cost | $ | (30,123 | ) | $ | (81,516 | ) | $ | (63,610 | ) | ||||||||||||||||
Proceeds from agency MBS sold 1 | 30,174 | 80,108 | 64,806 | ||||||||||||||||||||||
Net gain (loss) on sale of agency MBS | $ | 51 | $ | (1,408 | ) | $ | 1,196 | ||||||||||||||||||
Gross gain on sale of agency MBS | $ | 172 | $ | 217 | $ | 1,209 | |||||||||||||||||||
Gross loss on sale of agency MBS | (121 | ) | (1,625 | ) | (13 | ) | |||||||||||||||||||
Net gain (loss) on sale of agency MBS | $ | 51 | $ | (1,408 | ) | $ | 1,196 | ||||||||||||||||||
  ________________________ | |||||||||||||||||||||||||
1 | Proceeds include cash received during the period, plus receivable for agency MBS sold during the period as of period end. | ||||||||||||||||||||||||
For fiscal years 2014 and 2012, we recognized a net unrealized gain of $32 million and $17 million, respectively, for the change in value of investments in interest and principal-only strips in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. For fiscal year 2013, we did not recognize a net unrealized gain or loss on our interest and principal-only securities. Over the same periods, we did not recognize any realized gains or losses on our interest or principal-only securities. | |||||||||||||||||||||||||
Securitizations and Variable Interest Entities | |||||||||||||||||||||||||
As of December 31, 2014 and 2013, we held investments in CMO trusts, which are VIEs. We have consolidated certain of these CMO trusts in our consolidated financial statements where we have determined we are the primary beneficiary of the trusts. All of our CMO securities are backed by fixed or adjustable-rate agency MBS. Fannie Mae or Freddie Mac guarantees the payment of interest and principal and acts as the trustee and administrator of their respective securitization trusts. Accordingly, we are not required to provide the beneficial interest holders of the CMO securities any financial or other support. Our maximum exposure to loss related to our involvement with CMO trusts is the fair value of the CMO securities and interest and principal-only securities held by us, less principal amounts guaranteed by Fannie Mae and Freddie Mac. | |||||||||||||||||||||||||
In connection with our consolidated CMO trusts, we recognized agency securities with a total fair value of $1.3 billion and $1.5 billion as of December 31, 2014 and 2013, respectively, and debt, at fair value, of $761 million and $910 million, respectively, in our accompanying consolidated balance sheets. As of December 31, 2014 and 2013, the agency securities had an aggregate unpaid principal balance of $1.2 billion and $1.4 billion, respectively, and the debt had an aggregate unpaid principal balance of $742 million and $900 million, respectively. We re-measure our consolidated debt at fair value through earnings in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. For fiscal years 2014, 2013 and 2012, we recognized a net loss of $10 million, a net gain of $39 million and a net loss of $28 million, respectively, associated with our consolidated debt. Our involvement with the consolidated trusts is limited to the agency securities transferred by us upon the formation of the trusts and the CMO securities subsequently held by us. There are no arrangements that could require us to provide financial support to the trusts. | |||||||||||||||||||||||||
As of December 31, 2014 and 2013, the fair value of our CMO securities and interest and principal-only securities was $1.6 billion and $1.7 billion, respectively, excluding the consolidated CMO trusts discussed above, or $2.1 billion and $2.3 billion, respectively, including the net asset value of our consolidated CMO trusts. Our maximum exposure to loss related to our CMO securities and interest and principal-only securities, including our consolidated CMO trusts, was $274 million and $246 million as of December 31, 2014 and 2013, respectively. |
Repurchase_Agreements_And_Othe
Repurchase Agreements And Other Debt | 12 Months Ended | ||||||||||||||||||||
Dec. 31, 2014 | |||||||||||||||||||||
Disclosure of Repurchase Agreements [Abstract] | |||||||||||||||||||||
Repurchase Agreements And Other Debt | Repurchase Agreements and Other Debt | ||||||||||||||||||||
We pledge certain of our securities as collateral under repurchase arrangements with financial institutions, the terms and conditions of which are negotiated on a transaction-by-transaction basis. For additional information regarding our pledged assets please refer to Note 6. Interest rates on these borrowings are generally based on LIBOR plus or minus a margin and amounts available to be borrowed are dependent upon the fair value of the securities pledged as collateral, which fluctuates with changes in interest rates, type of security and liquidity conditions within the banking, mortgage finance and real estate industries. If the fair value of our pledged securities declines, lenders will typically require us to post additional collateral or pay down borrowings to re-establish agreed upon collateral requirements, referred to as "margin calls." Similarly, if the fair value of our pledged securities increases, lenders may release collateral back to us. As of December 31, 2014 and 2013, we had met all margin call requirements. | |||||||||||||||||||||
The following table summarizes our borrowings under repurchase arrangements and weighted average interest rates classified by remaining maturities as of December 31, 2014 and 2013 (dollars in millions): | |||||||||||||||||||||
31-Dec-14 | December 31, 2013 | ||||||||||||||||||||
Remaining Maturity | Repurchase Agreements | Weighted | Weighted | Repurchase Agreements | Weighted | Weighted | |||||||||||||||
Average | Average Days | Average | Average Days | ||||||||||||||||||
Interest | to Maturity | Interest | to Maturity | ||||||||||||||||||
Rate | Rate | ||||||||||||||||||||
Agency MBS: | |||||||||||||||||||||
≤ 1 month | $ | 14,157 | 0.37 | % | 15 | $ | 23,577 | 0.42 | % | 15 | |||||||||||
> 1 to ≤ 3 months | 20,223 | 0.38 | % | 61 | 20,490 | 0.43 | % | 61 | |||||||||||||
> 3 to ≤ 6 months | 6,654 | 0.42 | % | 120 | 6,946 | 0.45 | % | 140 | |||||||||||||
> 6 to ≤ 9 months | 1,575 | 0.5 | % | 225 | 2,232 | 0.53 | % | 230 | |||||||||||||
> 9 to ≤ 12 months | 2,678 | 0.54 | % | 313 | 3,607 | 0.54 | % | 323 | |||||||||||||
> 12 to ≤ 24 months | 600 | 0.57 | % | 551 | 3,261 | 0.6 | % | 603 | |||||||||||||
> 24 to ≤ 36 months | 952 | 0.6 | % | 999 | 500 | 0.62 | % | 930 | |||||||||||||
> 36 to ≤ 48 months | 650 | 0.64 | % | 1,266 | 202 | 0.71 | % | 1,257 | |||||||||||||
> 48 to < 60 months | 900 | 0.68 | % | 1,542 | 400 | 0.66 | % | 1,574 | |||||||||||||
Total agency MBS | 48,389 | 0.41 | % | 143 | 61,215 | 0.45 | % | 124 | |||||||||||||
U.S. Treasury securities: | |||||||||||||||||||||
1 day | 1,907 | 0.09 | % | 1 | 2,318 | 0.02 | % | 1 | |||||||||||||
Total / Weighted Average | $ | 50,296 | 0.4 | % | 138 | $ | 63,533 | 0.44 | % | 119 | |||||||||||
As of December 31, 2014 and 2013, debt of consolidated VIEs, at fair value ("other debt") was $761 million and $910 million, respectively. As of December 31, 2014 and 2013, our other debt had a weighted average interest rate of LIBOR plus 43 and 42 basis points and a principal balance of $742 million and $900 million, respectively. The actual maturities of our other debt are generally shorter than the stated contractual maturities. The actual maturities are affected by the contractual lives of the underlying agency MBS securitizing our other debt and periodic principal prepayments of such underlying securities. The estimated weighted average life of our other debt as of December 31, 2014 and 2013 was 5.8 and 7.1 years, respectively. | |||||||||||||||||||||
As of December 31, 2014 and 2013, we also had outstanding forward commitments to purchase and sell agency securities through the TBA market (see Notes 2 and 5). These transactions, also referred to as TBA dollar roll transactions, represent a form of "off-balance sheet" financing and serve to either increase, in the case of forward purchases, or decrease, in the case of forward sales, our total "at risk" leverage. However, pursuant to ASC 815, we account for such transactions as one or more series of derivative transactions and, consequently, they are not recognized as debt on our consolidated balance sheet and are excluded from commensurate measurements of our balance sheet debt to equity leverage ratios. |
Derivative_and_Other_Hedging_I
Derivative and Other Hedging Instruments | 12 Months Ended | ||||||||||||||||||||||||||||||||
Dec. 31, 2014 | |||||||||||||||||||||||||||||||||
Derivative Asset, Fair Value, Amount Not Offset Against Collateral [Abstract] | |||||||||||||||||||||||||||||||||
Derivative and Other Hedging Instruments | Derivative and Other Hedging Instruments | ||||||||||||||||||||||||||||||||
In connection with our risk management strategy, we hedge a portion of our interest rate risk by entering into derivative and other hedging instrument contracts. We typically enter into agreements for interest rate swaps and interest rate swaptions and purchase or short TBA and U.S. Treasury securities. We may also purchase or write put or call options on TBA securities or we may invest in other types of mortgage derivative securities, such as interest and principal-only securities. Our risk management strategy attempts to manage the overall risk of the portfolio, reduce fluctuations in book value and generate additional income distributable to stockholders. 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. | |||||||||||||||||||||||||||||||||
Prior to September 30, 2011, our interest rate swaps were typically designated as cash flow hedges under ASC 815; however, as of September 30, 2011, we elected to discontinue hedge accounting for our interest rate swaps in order to increase our funding flexibility. For fiscal years 2014, 2013 and 2012, we reclassified $156 million, $189 million and $205 million, respectively, of net deferred losses from accumulated OCI into interest expense related to our de-designated interest rate swaps and recognized an equal, but offsetting, amount in other comprehensive income. Our total net periodic interest costs on our swap portfolio for those periods were $486 million, $613 million and $457 million, respectively. The difference of $330 million, $424 million and $252 million for these periods, respectively, is reported in our accompanying consolidated statements of comprehensive income in gain (loss) on derivative instruments and other securities, net. As of December 31, 2014, the remaining net deferred loss in accumulated OCI related to de-designated interest rate swaps was $140 million and will be reclassified from OCI into interest expense over a remaining weighted average period of 1.4 years. As of December 31, 2014, the net deferred loss expected to be reclassified from OCI into interest expense over the next twelve months was $101 million. | |||||||||||||||||||||||||||||||||
Derivative and Other Hedging Instrument Assets (Liabilities), at Fair Value | |||||||||||||||||||||||||||||||||
The table below summarizes fair value information about our derivative assets and liabilities as of December 31, 2014 and 2013 (in millions): | |||||||||||||||||||||||||||||||||
Derivative and Other Hedging Instruments | Balance Sheet Location | December 31, 2014 | December 31, 2013 | ||||||||||||||||||||||||||||||
Interest rate swaps | Derivative assets, at fair value | $ | 136 | $ | 880 | ||||||||||||||||||||||||||||
Swaptions | Derivative assets, at fair value | 75 | 258 | ||||||||||||||||||||||||||||||
TBA securities | Derivative assets, at fair value | 197 | 17 | ||||||||||||||||||||||||||||||
U.S. Treasury futures - short | Derivative assets, at fair value | — | 39 | ||||||||||||||||||||||||||||||
Total | $ | 408 | $ | 1,194 | |||||||||||||||||||||||||||||
Interest rate swaps | Derivative liabilities, at fair value | $ | (880 | ) | $ | (400 | ) | ||||||||||||||||||||||||||
TBA securities | Derivative liabilities, at fair value | (5 | ) | (22 | ) | ||||||||||||||||||||||||||||
U.S. Treasury futures - short | Derivative liabilities, at fair value | (5 | ) | — | |||||||||||||||||||||||||||||
Total | $ | (890 | ) | $ | (422 | ) | |||||||||||||||||||||||||||
U.S. Treasury securities - long | U.S. Treasury securities, at fair value | $ | 2,427 | $ | 3,822 | ||||||||||||||||||||||||||||
U.S. Treasury securities - short | Obligation to return securities borrowed under reverse repurchase agreements, at fair value 1 | (5,363 | ) | (1,848 | ) | ||||||||||||||||||||||||||||
Total - (short)/long, net | $ | (2,936 | ) | $ | 1,974 | ||||||||||||||||||||||||||||
 ________________________ | |||||||||||||||||||||||||||||||||
1 | Our obligation to return securities borrowed under reverse repurchase agreements as of December 31, 2014 and 2013 relates to securities borrowed to cover short sales of U.S. Treasury securities from which we received total sale proceeds of $5.4 billion and $1.9 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. | ||||||||||||||||||||||||||||||||
The following tables summarize our interest rate swap agreements outstanding as of December 31, 2014 and 2013 (dollars in millions): | |||||||||||||||||||||||||||||||||
31-Dec-14 | |||||||||||||||||||||||||||||||||
Payer Interest Rate Swaps | Notional | Average | Average | Net | Average | ||||||||||||||||||||||||||||
Amount 1 | Fixed | Receive | Estimated | Maturity | |||||||||||||||||||||||||||||
Pay Rate 2 | Rate 3 | Fair Value | (Years) 4 | ||||||||||||||||||||||||||||||
≤ 3 years | $ | 12,300 | 1.33% | 0.21% | $ | (87 | ) | 2 | |||||||||||||||||||||||||
> 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. | ||||||||||||||||||||||||||||||||
December 31, 2013 | |||||||||||||||||||||||||||||||||
Payer Interest Rate Swaps | Notional | Average | Average | Net | Average | ||||||||||||||||||||||||||||
Amount 1 | Fixed | Receive | Estimated | Maturity | |||||||||||||||||||||||||||||
Pay Rate 2 | Rate 3 | Fair Value | (Years) 4 | ||||||||||||||||||||||||||||||
≤ 3 years | $ | 16,750 | 1.57% | 0.19% | $ | (382 | ) | 1.6 | |||||||||||||||||||||||||
> 3 to ≤ 5 years | 10,225 | 1.07% | 0.24% | 81 | 3.9 | ||||||||||||||||||||||||||||
> 5 to ≤ 7 years | 5,700 | 1.97% | 0.26% | 113 | 6 | ||||||||||||||||||||||||||||
> 7 to ≤ 10 years | 8,825 | 2.28% | 0.24% | 499 | 8.8 | ||||||||||||||||||||||||||||
> 10 years | 1,750 | 2.79% | 0.24% | 169 | 14.7 | ||||||||||||||||||||||||||||
Total Payer Interest Rate Swaps | $ | 43,250 | 1.70% | 0.22% | $ | 480 | 4.7 | ||||||||||||||||||||||||||
   ________________________ | |||||||||||||||||||||||||||||||||
1 | Notional amount includes forward starting swaps of $4.0 billion with an average forward start date of 1.9 years from December 31, 2013. | ||||||||||||||||||||||||||||||||
2 | Average fixed pay rate includes forward starting swaps. Excluding forward starting swaps, the average fixed pay rate was 1.57% as of December 31, 2013. | ||||||||||||||||||||||||||||||||
3 | Average receive rate excludes forward starting swaps. | ||||||||||||||||||||||||||||||||
4 | Average maturity measured from December 31, 2013 through stated maturity date. | ||||||||||||||||||||||||||||||||
The following tables summarize our interest rate swaption agreements outstanding as of December 31, 2014 and 2013 (dollars in millions): | |||||||||||||||||||||||||||||||||
December 31, 2014 | |||||||||||||||||||||||||||||||||
Option | Underlying Payer Swap | ||||||||||||||||||||||||||||||||
Years to Expiration | Cost | Fair | Average | Notional | Average Fixed Pay | Average | Average | ||||||||||||||||||||||||||
Value | Months to | Amount | Rate | Receive | Term | ||||||||||||||||||||||||||||
Expiration | Rate | (Years) | |||||||||||||||||||||||||||||||
(LIBOR) | |||||||||||||||||||||||||||||||||
Payer Swaptions: | |||||||||||||||||||||||||||||||||
≤ 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 | |||||||||||||||||||||||
December 31, 2014 | |||||||||||||||||||||||||||||||||
Option | Underlying Receiver Swap | ||||||||||||||||||||||||||||||||
Years to Expiration | Cost | Fair | Average | Notional | Average Fixed Receive | Average | Average | ||||||||||||||||||||||||||
Value | Months to | Amount | Rate | Â Pay | Term | ||||||||||||||||||||||||||||
Expiration | Rate | (Years) | |||||||||||||||||||||||||||||||
(LIBOR) | |||||||||||||||||||||||||||||||||
Receiver Swaptions: | |||||||||||||||||||||||||||||||||
≤ 1 year | $ | 18 | $ | 29 | 5 | $ | 4,250 | 1.78% | 3M | 6.4 | |||||||||||||||||||||||
December 31, 2013 | |||||||||||||||||||||||||||||||||
Option | Underlying Payer Swap | ||||||||||||||||||||||||||||||||
Years to Expiration | Cost | Fair | Average | Notional | Average Fixed Pay | Average | Average | ||||||||||||||||||||||||||
Value | Months to | Amount | Rate | Receive | Term | ||||||||||||||||||||||||||||
Expiration | Rate | (Years) | |||||||||||||||||||||||||||||||
(LIBOR) | |||||||||||||||||||||||||||||||||
Payer Swaptions: | |||||||||||||||||||||||||||||||||
≤ 1 year | $ | 193 | $ | 117 | 4 | $ | 9,400 | 2.87% | 3M | 7.8 | |||||||||||||||||||||||
> 1 to ≤ 2 years | 105 | 92 | 19 | 3,600 | 3.40% | 3M | 5.6 | ||||||||||||||||||||||||||
> 2 to ≤ 3 years | 35 | 45 | 30 | 1,150 | 3.81% | 3M | 5.8 | ||||||||||||||||||||||||||
> 3 to ≤ 5 years | 2 | 4 | 52 | 100 | 4.80% | 3M | 7 | ||||||||||||||||||||||||||
Total Payer Swaptions | $ | 335 | $ | 258 | 10 | $ | 14,250 | 3.09% | 3M | 7 | |||||||||||||||||||||||
We did not have any receiver swaptions outstanding as of December 31, 2013. | |||||||||||||||||||||||||||||||||
The following table summarizes our U.S. Treasury securities as of December 31, 2014 and 2013 (in millions): | |||||||||||||||||||||||||||||||||
31-Dec-14 | 31-Dec-13 | ||||||||||||||||||||||||||||||||
Maturity | Face Amount Net Long / (Short) | Cost Basis | Market Value | Face Amount Net Long / (Short) | Cost Basis | Market Value | |||||||||||||||||||||||||||
5 years | $ | (4,674 | ) | $ | (4,650 | ) | $ | (4,645 | ) | $ | 1,225 | $ | 1,211 | $ | 1,201 | ||||||||||||||||||
7 years | (717 | ) | (717 | ) | (718 | ) | 60 | 57 | 56 | ||||||||||||||||||||||||
10 years | 2,410 | 2,422 | 2,427 | 635 | 717 | 717 | |||||||||||||||||||||||||||
Total U.S. Treasury securities | $ | (2,981 | ) | $ | (2,945 | ) | $ | (2,936 | ) | $ | 1,920 | $ | 1,985 | $ | 1,974 | ||||||||||||||||||
The following table summarizes our contracts to purchase and sell TBA contracts as of December 31, 2014 and 2013 (in millions): | |||||||||||||||||||||||||||||||||
31-Dec-14 | December 31, 2013 | ||||||||||||||||||||||||||||||||
Purchase and Sale Contracts for TBAs | Notional | Cost Basis 2 | Market Value 3 | Net Carrying Value 4 | Notional | Cost Basis 2 | Market Value 3 | Net Carrying Value 4 | |||||||||||||||||||||||||
Amount 1 | Amount 1 | ||||||||||||||||||||||||||||||||
TBA securities: | |||||||||||||||||||||||||||||||||
Purchase contracts | $ | 17,388 | $ | 17,769 | $ | 17,916 | $ | 147 | $ | 6,660 | $ | 6,882 | $ | 6,864 | $ | (18 | ) | ||||||||||||||||
Sale contracts | (2,976 | ) | (3,193 | ) | (3,148 | ) | 45 | (4,541 | ) | (4,606 | ) | (4,593 | ) | 13 | |||||||||||||||||||
TBA securities, net 5 | $ | 14,412 | $ | 14,576 | $ | 14,768 | $ | 192 | $ | 2,119 | $ | 2,276 | $ | 2,271 | $ | (5 | ) | ||||||||||||||||
  ________________________ | |||||||||||||||||||||||||||||||||
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. | ||||||||||||||||||||||||||||||||
5 | Includes 15-year and 30-year TBA securities of varying coupons | ||||||||||||||||||||||||||||||||
Gain (Loss) From Derivative Instruments and Other Securities, Net | |||||||||||||||||||||||||||||||||
The tables below summarize changes in our derivative and other hedge portfolio and their effect on our consolidated statements of comprehensive income for fiscal years 2014, 2013 and 2012 (in millions): | |||||||||||||||||||||||||||||||||
Fiscal year 2014 | |||||||||||||||||||||||||||||||||
Derivative and Other Hedging Instruments | Notional Amount | Additions | Settlement, Termination, | Notional Amount | Amount of | ||||||||||||||||||||||||||||
Long/(Short) | Expiration or | Long/(Short) December 31, 2014 | Gain/(Loss) | ||||||||||||||||||||||||||||||
31-Dec-13 | Exercise | Recognized in | |||||||||||||||||||||||||||||||
Income on | |||||||||||||||||||||||||||||||||
Derivatives 1 | |||||||||||||||||||||||||||||||||
Net TBA securities | $ | 2,119 | 213,627 | (201,334 | ) | $ | 14,412 | $ | 1,117 | ||||||||||||||||||||||||
Interest rate swaps | $ | (43,250 | ) | (20,550 | ) | 20,100 | $ | (43,700 | ) | (1,838 | ) | ||||||||||||||||||||||
Payer swaptions | $ | (14,250 | ) | (5,250 | ) | 12,700 | $ | (6,800 | ) | (193 | ) | ||||||||||||||||||||||
Receiver swaptions | $ | — | 5,500 | (1,250 | ) | $ | 4,250 | 11 | |||||||||||||||||||||||||
U.S. Treasury securities - short position | $ | (2,007 | ) | (36,489 | ) | 33,104 | $ | (5,392 | ) | (420 | ) | ||||||||||||||||||||||
U.S. Treasury securities - long position | $ | 3,927 | 18,549 | (20,065 | ) | $ | 2,411 | 66 | |||||||||||||||||||||||||
U.S. Treasury futures contracts - short position | $ | (1,730 | ) | (2,920 | ) | 3,920 | $ | (730 | ) | (76 | ) | ||||||||||||||||||||||
TBA put option | $ | — | (150 | ) | 150 | $ | — | — | |||||||||||||||||||||||||
$ | (1,333 | ) | |||||||||||||||||||||||||||||||
  ________________________________ | |||||||||||||||||||||||||||||||||
1 | Excludes a net gain of $75 million from investments in REIT equity securities, a net loss of $10 million from debt of consolidated VIEs, a net gain of $32 million from interest and principal-only securities and other miscellaneous net losses of $7 million recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. | ||||||||||||||||||||||||||||||||
Fiscal year 2013 | |||||||||||||||||||||||||||||||||
Derivative and Other Hedging Instruments | Notional Amount | Additions | Settlement, Termination, | Notional Amount | Amount of | ||||||||||||||||||||||||||||
Long/(Short) | Expiration or |  Long/(Short) December 31, 2013 | Gain/(Loss) | ||||||||||||||||||||||||||||||
31-Dec-12 | Exercise | Recognized in | |||||||||||||||||||||||||||||||
Income on | |||||||||||||||||||||||||||||||||
Derivatives 1 | |||||||||||||||||||||||||||||||||
Net TBA and forward settling agency securities | $ | 12,477 | 42,707 | (53,065 | ) | $ | 2,119 | $ | (726 | ) | |||||||||||||||||||||||
Interest rate swaps | $ | (46,850 | ) | (20,750 | ) | 24,350 | $ | (43,250 | ) | 1,145 | |||||||||||||||||||||||
Payer swaptions | $ | (14,450 | ) | (23,800 | ) | 24,000 | $ | (14,250 | ) | 258 | |||||||||||||||||||||||
U.S. Treasury securities - short position | $ | (11,835 | ) | (31,941 | ) | 41,769 | $ | (2,007 | ) | 472 | |||||||||||||||||||||||
U.S. Treasury securities - long position | $ | — | 27,805 | (23,878 | ) | $ | 3,927 | (42 | ) | ||||||||||||||||||||||||
U.S. Treasury futures contracts - short position | $ | — | (9,239 | ) | 7,509 | $ | (1,730 | ) | 49 | ||||||||||||||||||||||||
TBA put option | $ | — | (50 | ) | 50 | $ | — | — | |||||||||||||||||||||||||
$ | 1,156 | ||||||||||||||||||||||||||||||||
  ______________________ | |||||||||||||||||||||||||||||||||
1 | Excludes a net gain of $2 million from investments in REIT equity securities, a net gain of $39 million from debt of consolidated VIEs and other miscellaneous net losses of $6 million recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. | ||||||||||||||||||||||||||||||||
Fiscal year 2012 | |||||||||||||||||||||||||||||||||
Derivative and Other Hedging Instruments | Notional Amount | Additions | Settlement, Termination, | Notional Amount | Amount of | ||||||||||||||||||||||||||||
Long/(Short) | Expiration or |  Long/(Short) December 31, 2012 | Gain/(Loss) | ||||||||||||||||||||||||||||||
31-Dec-11 | Exercise | Recognized in | |||||||||||||||||||||||||||||||
Income on | |||||||||||||||||||||||||||||||||
Derivatives 1 | |||||||||||||||||||||||||||||||||
Net TBA and forward settling agency securities | $ | (104 | ) | (36,174 | ) | 48,755 | $ | 12,477 | $ | 31 | |||||||||||||||||||||||
Interest rate swaps | $ | (30,250 | ) | (25,000 | ) | 8,400 | $ | (46,850 | ) | (1,034 | ) | ||||||||||||||||||||||
Payer swaptions | $ | (3,200 | ) | (18,250 | ) | 7,000 | $ | (14,450 | ) | (106 | ) | ||||||||||||||||||||||
U.S. Treasury securities - short position | $ | (880 | ) | (36,555 | ) | 25,600 | $ | (11,835 | ) | (142 | ) | ||||||||||||||||||||||
U.S. Treasury securities - long position | $ | 100 | 2,445 | (2,545 | ) | $ | — | (1 | ) | ||||||||||||||||||||||||
U.S. Treasury futures contracts - short position | $ | (783 | ) | (3,838 | ) | 4,621 | $ | — | (90 | ) | |||||||||||||||||||||||
Markit IOS total return swaps, net | $ | (165 | ) | — | 165 | $ | — | — | |||||||||||||||||||||||||
$ | (1,342 | ) | |||||||||||||||||||||||||||||||
  ______________________ | |||||||||||||||||||||||||||||||||
1 | Excludes a net gain of $17 million from interest and principal-only securities, a net loss of $28 million from debt of consolidated VIEs recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. |
Pledged_Assets_Notes
Pledged Assets (Notes) | 12 Months Ended | ||||||||||||||||||||||||
Dec. 31, 2014 | |||||||||||||||||||||||||
Offsetting Assets and Liabilities [Abstract] | |||||||||||||||||||||||||
Pledged Assets | Pledged Assets | ||||||||||||||||||||||||
Our repurchase agreements and derivative contracts require us to fully collateralize our obligations under the agreements based upon our counterparties' collateral requirements and their determination of the fair value of the securities pledged as collateral, which fluctuates with changes in interest rates, credit quality and liquidity conditions within the investment banking, mortgage finance and real estate industries. In addition, obligations under our derivative agreements will typically vary over time based on similar factors as well as the remaining term of the derivative contract. We are also typically required to post initial collateral upon execution of derivative transactions, such as interest rate swap agreements and TBA contracts. If we breach any of these provisions, we will be required to fully settle our obligations under the agreements, which could include a forced liquidation of our pledged collateral. | |||||||||||||||||||||||||
Our repurchase agreement and derivative counterparties also apply a "haircut" to our pledged collateral, which means our collateral is valued at slightly less than market value and limits the amount we can borrow against our securities. This haircut reflects the underlying risk of the specific collateral and protects our counterparty against a change in its value. Our agreements do not specify the haircut; rather haircuts are determined on an individual transaction basis. | |||||||||||||||||||||||||
Consequently, the use of repurchase agreements and derivative instruments exposes us to credit risk relating to potential losses that could be recognized in the event that our counterparties fail to perform their obligations under such agreements. We minimize this risk by limiting our repurchase agreement and derivative counterparties to major financial institutions with acceptable credit ratings or to registered clearinghouses, and we monitor our positions with individual counterparties. In the event of a default by a counterparty we may have difficulty obtaining our assets pledged as collateral to such counterparty and may not receive payments provided for under the terms of our derivative agreements. In the case of centrally cleared instruments, we could be exposed to credit risk if the central clearing agency or a clearing member defaults on its respective obligation to perform under the contract. However, we believe that the risk is minimal due to the clearing exchanges' initial and daily mark to market margin requirements and clearinghouse guarantee funds and other resources that are available in the event of a clearing member default. | |||||||||||||||||||||||||
Further, each of our International Swaps and Derivatives Association ("ISDA") Master Agreements also contains a cross default provision under which a default under certain of our other indebtedness in excess of a certain threshold causes an event of default under the agreement. Threshold amounts vary by lender. Following an event of default, we could be required to settle our obligations under the agreements. Additionally, under certain of our ISDA Master Agreements, we could be required to settle our obligations under the agreements if we fail to maintain certain minimum stockholders' equity thresholds or our REIT status or if we fail to comply with limits on our leverage above certain specified levels. As of December 31, 2014, the fair value of additional collateral that could be required to be posted as a result of the credit-risk-related contingent features being triggered was not material to our financial statements. | |||||||||||||||||||||||||
As of December 31, 2014, our amount at risk with any counterparty related to our repurchase agreements was less than 4% of our stockholders' equity and our amount at risk with any counterparty related to our interest rate swap and swaption agreements, excluding centrally cleared swaps, was less than 1% of our stockholders' equity. | |||||||||||||||||||||||||
Assets Pledged to Counterparties | |||||||||||||||||||||||||
The following tables summarize our assets pledged as collateral under our repurchase agreements, debt of consolidated VIEs, derivative agreements and prime broker agreements by type, including securities pledged related to securities sold but not yet settled, as of December 31, 2014 and 2013 (in millions): | |||||||||||||||||||||||||
December 31, 2014 | |||||||||||||||||||||||||
Assets Pledged to Counterparties | Repurchase Agreements | Debt of Consolidated VIEs | Derivative Agreements | Prime Broker Agreements | Total | ||||||||||||||||||||
Agency MBS - fair value | $ | 50,858 | $ | 1,266 | $ | 69 | $ | 702 | $ | 52,895 | |||||||||||||||
U.S. Treasury securities - fair value | 1,904 | — | 550 | — | 2,454 | ||||||||||||||||||||
Accrued interest on pledged securities | 147 | 4 | 2 | — | 153 | ||||||||||||||||||||
Restricted cash | 6 | — | 698 | 9 | 713 | ||||||||||||||||||||
Total | $ | 52,915 | $ | 1,270 | $ | 1,319 | $ | 711 | $ | 56,215 | |||||||||||||||
December 31, 2013 | |||||||||||||||||||||||||
Assets Pledged to Counterparties | Repurchase Agreements | Debt of Consolidated VIEs | Derivative Agreements | Prime Broker Agreements | Total | ||||||||||||||||||||
Agency MBS - fair value | $ | 62,708 | $ | 1,459 | $ | 28 | $ | 91 | $ | 64,286 | |||||||||||||||
U.S. Treasury securities - fair value | 3,708 | — | 70 | — | 3,778 | ||||||||||||||||||||
Accrued interest on pledged securities | 189 | 5 | 1 | — | 195 | ||||||||||||||||||||
Restricted cash | 3 | — | 41 | 57 | 101 | ||||||||||||||||||||
Total | $ | 66,608 | $ | 1,464 | $ | 140 | $ | 148 | $ | 68,360 | |||||||||||||||
The cash and cash equivalents and agency securities pledged as collateral under our derivative agreements are included in restricted cash and agency securities, at fair value, respectively, on our consolidated balance sheets. | |||||||||||||||||||||||||
The following table summarizes our securities pledged as collateral under repurchase agreements and other debt of consolidated VIEs by remaining maturity of the repurchase agreement and other debt liability, including securities pledged related to sold but not yet settled securities, as of December 31, 2014 and 2013 (in millions). For the corresponding repurchase agreement and other debt liability associated with the following amounts and the interest rates thereon, refer to Note 4. | |||||||||||||||||||||||||
December 31, 2014 | December 31, 2013 | ||||||||||||||||||||||||
Agency Securities Pledged by Remaining Maturity of Repurchase Agreements and Debt of Consolidated VIEs | Fair Value of Pledged Securities | Amortized | Accrued | Fair Value of Pledged Securities | Amortized | Accrued | |||||||||||||||||||
Cost of Pledged Securities | Interest on | Cost of Pledged Securities | Interest on | ||||||||||||||||||||||
Pledged | Pledged | ||||||||||||||||||||||||
Securities | Securities | ||||||||||||||||||||||||
Agency MBS: | |||||||||||||||||||||||||
  ≤ 30 days | $ | 14,605 | $ | 14,453 | $ | 41 | $ | 27,694 | $ | 28,125 | $ | 76 | |||||||||||||
  > 30 and ≤ 60 days | 10,912 | 10,789 | 30 | 14,955 | 15,210 | 42 | |||||||||||||||||||
  > 60 and ≤ 90 days | 10,205 | 10,109 | 28 | 10,117 | 10,290 | 28 | |||||||||||||||||||
  > 90 days | 16,402 | 16,227 | 47 | 11,401 | 11,623 | 32 | |||||||||||||||||||
Total agency MBS | 52,124 | 51,578 | 146 | 64,167 | 65,248 | 178 | |||||||||||||||||||
U.S. Treasury securities: | |||||||||||||||||||||||||
   1 day | 1,904 | 1,899 | 5 | 3,708 | 3,760 | 16 | |||||||||||||||||||
Total | $ | 54,028 | $ | 53,477 | $ | 151 | $ | 67,875 | $ | 69,008 | $ | 194 | |||||||||||||
As of December 31, 2014 and 2013, none of our repurchase agreement borrowings backed by agency MBS were due on demand or mature overnight. | |||||||||||||||||||||||||
Assets Pledged from Counterparties | |||||||||||||||||||||||||
As of December 31, 2014 and 2013, we had assets pledged to us from counterparties as collateral under our reverse repurchase and derivative agreements summarized in the tables below (in millions). | |||||||||||||||||||||||||
December 31, 2014 | December 31, 2013 | ||||||||||||||||||||||||
Assets Pledged to AGNC | Reverse Repurchase Agreements | Derivative Agreements | Total | Reverse Repurchase Agreements | Derivative Agreements | Total | |||||||||||||||||||
Agency MBS - fair value | $ | — | $ | 43 | $ | 43 | $ | — | $ | 82 | $ | 82 | |||||||||||||
U.S. Treasury securities - fair value | 5,363 | 47 | 5,410 | 1,848 | 164 | 2,012 | |||||||||||||||||||
Cash | — | 28 | 28 | — | 366 | 366 | |||||||||||||||||||
Total | $ | 5,363 | $ | 118 | $ | 5,481 | $ | 1,848 | $ | 612 | $ | 2,460 | |||||||||||||
U.S Treasury securities received as collateral under our reverse repurchase agreements are accounted for as securities borrowing transactions and are used to cover short sales of the same securities. We recognize a corresponding obligation to return the borrowed securities at fair value on the accompanying consolidated balance sheets based on the value of the underlying borrowed securities as of the reporting date. | |||||||||||||||||||||||||
Cash collateral received is recognized in cash and cash equivalents with a corresponding amount recognized in accounts payable and other accrued liabilities on the accompanying consolidated balance sheets. | |||||||||||||||||||||||||
Offsetting Assets and Liabilities | |||||||||||||||||||||||||
Certain of our repurchase agreements and derivative transactions are governed by underlying agreements that generally provide for a right of setoff under master netting arrangements (or similar agreements), including in the event of default or in the event of bankruptcy of either party to the transactions. We present our assets and liabilities subject to such arrangements on a gross basis in our consolidated balance sheets. | |||||||||||||||||||||||||
The following tables present information about our assets and liabilities that are subject to such arrangements and can potentially be offset on our consolidated balance sheets as of December 31, 2014 and 2013 (in millions): | |||||||||||||||||||||||||
Offsetting of Financial Assets and Derivative Assets | |||||||||||||||||||||||||
Gross Amounts of Recognized Assets | Gross Amounts Offset in the Consolidated Balance Sheets | Net Amounts of Assets Presented in the Consolidated Balance Sheets | Gross Amounts Not Offset | Net Amount | |||||||||||||||||||||
 in the | |||||||||||||||||||||||||
Consolidated Balance Sheets | |||||||||||||||||||||||||
Financial Instruments | Collateral Received 2 | ||||||||||||||||||||||||
31-Dec-14 | |||||||||||||||||||||||||
Interest rate swap and swaption agreements, at fair value 1 | $ | 211 | $ | — | $ | 211 | $ | (94 | ) | $ | (83 | ) | $ | 34 | |||||||||||
Receivable under reverse repurchase agreements | 5,218 | — | 5,218 | (4,690 | ) | (528 | ) | — | |||||||||||||||||
Total derivative, other hedging instruments and other assets | $ | 5,429 | $ | — | $ | 5,429 | $ | (4,784 | ) | $ | (611 | ) | $ | 34 | |||||||||||
31-Dec-13 | |||||||||||||||||||||||||
Interest rate swap and swaption agreements, at fair value 1 | $ | 1,138 | $ | — | $ | 1,138 | $ | (331 | ) | $ | (610 | ) | $ | 197 | |||||||||||
Receivable under reverse repurchase agreements | 1,881 | — | 1,881 | (1,881 | ) | — | — | ||||||||||||||||||
Total derivative, other hedging instruments and other assets | $ | 3,019 | $ | — | $ | 3,019 | $ | (2,212 | ) | $ | (610 | ) | $ | 197 | |||||||||||
Offsetting of Financial Liabilities and Derivative Liabilities | |||||||||||||||||||||||||
Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Consolidated Balance Sheets | Net Amounts of Liabilities Presented in the Consolidated Balance Sheets | Gross Amounts Not Offset | Net Amount | |||||||||||||||||||||
 in the | |||||||||||||||||||||||||
Consolidated Balance Sheets | |||||||||||||||||||||||||
Financial Instruments | Collateral Pledged 2 | ||||||||||||||||||||||||
31-Dec-14 | |||||||||||||||||||||||||
Interest rate swap agreements, at fair value 1 | $ | 880 | $ | — | $ | 880 | $ | (94 | ) | $ | (782 | ) | $ | 4 | |||||||||||
Repurchase agreements | 50,296 | — | 50,296 | (4,690 | ) | (45,606 | ) | — | |||||||||||||||||
Total derivative, other hedging instruments and other liabilities | $ | 51,176 | $ | — | $ | 51,176 | $ | (4,784 | ) | $ | (46,388 | ) | $ | 4 | |||||||||||
31-Dec-13 | |||||||||||||||||||||||||
Interest rate swap agreements, at fair value 1 | $ | 400 | $ | — | $ | 400 | $ | (331 | ) | $ | (69 | ) | $ | — | |||||||||||
Repurchase agreements | 63,533 | — | 63,533 | (1,881 | ) | (61,652 | ) | — | |||||||||||||||||
Total derivative, other hedging instruments and other liabilities | $ | 63,933 | $ | — | $ | 63,933 | $ | (2,212 | ) | $ | (61,721 | ) | $ | — | |||||||||||
_______________________ | |||||||||||||||||||||||||
1 | Reported under derivative assets / liabilities, at fair value in the accompanying consolidated balance sheets. Refer to Note 5 for a reconciliation of derivative assets / liabilities, at fair value to their sub-components. | ||||||||||||||||||||||||
2 | Includes cash and securities received / pledged as collateral, at fair value. Amounts presented are limited to collateral pledged sufficient to reduce the net amount to zero for individual counterparties, as applicable. |
Fair_Value_Measurements
Fair Value Measurements | 12 Months Ended | |||||||||||
Dec. 31, 2014 | ||||||||||||
Fair Value, Assets, Liabilities and Stockholders' Equity Measured on Recurring Basis [Abstract] | ||||||||||||
Fair Value Measurements | Fair Value Measurements | |||||||||||
We determine the fair value of our agency securities and debt of consolidated VIEs based upon fair value estimates obtained from multiple third party pricing services and dealers. Â In determining fair value, third party pricing sources use various valuation approaches, including market and income approaches. Â Factors used by third party sources in estimating the fair value of an instrument may include observable inputs such as coupons, primary and secondary mortgage rates, pricing information, credit data, volatility statistics, and other market data that are current as of the measurement date. The availability of observable inputs can vary by instrument and is affected by a wide variety of factors, including the type of instrument, whether the instrument is new and not yet established in the marketplace and other characteristics particular to the instrument. Â Third party pricing sources may also use certain unobservable inputs, such as assumptions of future levels of prepayment, defaults and foreclosures, especially when estimating fair values for securities with lower levels of recent trading activity. We make inquiries of third party pricing sources to understand the significant inputs and assumptions they used to determine their prices. For further information regarding valuation of our derivative instruments, please refer to the discussion of derivative and other hedging instruments in Note 2. | ||||||||||||
 | ||||||||||||
We review the various third party fair value estimates and perform procedures to validate their reasonableness, including an analysis of the range of third party estimates for each position, comparison to recent trade activity for similar securities, and management review for consistency with market conditions observed as of the measurement date. While we do not adjust prices we obtain from third party pricing sources, we will exclude third party prices for securities from our determination of fair value if we determine (based on our validation procedures and our market knowledge and expertise) that the price is significantly different from observable market data would indicate and we cannot obtain an understanding from the third party source as to the significant inputs used to determine the price. | ||||||||||||
 | ||||||||||||
The validation procedures described above also influence our determination of the appropriate fair value measurement classification. Â We utilize a three-level valuation hierarchy for disclosure of fair value measurement. The valuation hierarchy is based upon the transparency of inputs to the valuation of an asset or liability as of the measurement date. A financial instrument's categorization within the hierarchy is based upon the lowest level of input that is significant to the fair value measurement. There were no transfers between hierarchy levels during fiscal years 2014 and 2013. The three levels of hierarchy are defined as follows: | ||||||||||||
• | Level 1 Inputs —Quoted prices (unadjusted) for identical unrestricted assets and liabilities in active markets that are accessible at the measurement date. | |||||||||||
• | Level 2 Inputs —Quoted prices for similar assets and liabilities in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable. | |||||||||||
• | Level 3 Inputs —Instruments with primarily unobservable market data that cannot be corroborated. | |||||||||||
The following table provides a summary of our assets and liabilities that are measured at fair value on a recurring basis as of December 31, 2014 and 2013 (dollars in millions): | ||||||||||||
Fair Value Hierarchy | ||||||||||||
Level 1 | Level 2 | Level 3 | ||||||||||
December 31, 2014 | ||||||||||||
Assets: | ||||||||||||
Agency securities | $ | — | $ | 55,482 | $ | — | ||||||
Agency securities transferred to consolidated VIEs | — | 1,266 | — | |||||||||
U.S. Treasury securities | 2,427 | — | — | |||||||||
Interest rate swaps | — | 136 | — | |||||||||
Swaptions | — | 75 | — | |||||||||
REIT equity securities | 68 | — | ||||||||||
TBA securities | — | 197 | — | |||||||||
Total | $ | 2,495 | $ | 57,156 | $ | — | ||||||
Liabilities: | ||||||||||||
Debt of consolidated VIEs | $ | — | $ | 761 | $ | — | ||||||
Obligation to return U.S. Treasury securities borrowed under reverse repurchase agreements | 5,363 | — | — | |||||||||
Interest rate swaps | — | 880 | — | |||||||||
U.S. Treasury futures | 5 | — | — | |||||||||
TBA securities | — | 5 | — | |||||||||
Total | $ | 5,368 | $ | 1,646 | $ | — | ||||||
December 31, 2013 | ||||||||||||
Assets: | ||||||||||||
Agency securities | $ | — | $ | 64,482 | $ | — | ||||||
Agency securities transferred to consolidated VIEs | — | 1,459 | — | |||||||||
U.S. Treasury securities | 3,822 | — | — | |||||||||
Interest rate swaps | — | 880 | — | |||||||||
Swaptions | — | 258 | — | |||||||||
REIT equity securities | 237 | — | — | |||||||||
U.S. Treasury futures | 39 | — | — | |||||||||
TBA securities | — | 17 | — | |||||||||
Total | $ | 4,098 | $ | 67,096 | $ | — | ||||||
Liabilities: | ||||||||||||
Debt of consolidated VIEs | $ | — | $ | 910 | $ | — | ||||||
Obligation to return U.S. Treasury securities borrowed under reverse repurchase agreements | 1,848 | — | — | |||||||||
Interest rate swaps | — | 400 | — | |||||||||
TBA securities | — | 22 | — | |||||||||
Total | $ | 1,848 | $ | 1,332 | $ | — | ||||||
We elected the option to account for debt of consolidated VIEs at fair value with changes in fair value reflected in earnings during the period in which they occur, because we believe this election more appropriately reflects our financial position as both the consolidated agency securities and consolidated debt are presented in a consistent manner, at fair value, on our consolidated balance sheets. We estimate the fair value of the consolidated debt based on a market approach using Level 2 inputs from third-party pricing services and dealer quotes. | ||||||||||||
Excluded from the table above are financial instruments, including cash and cash equivalents, restricted cash, receivables, payables and borrowings under repurchase agreements, which are presented in our consolidated financial statements at cost, which is determined to approximate fair value, primarily due to the short duration of these instruments. The cost basis of repo borrowings with initial terms of greater than one year is determined to approximate fair value, primarily as such agreements have floating rates based on an index plus or minus a fixed spread and the fixed spread is generally consistent with those demanded in the market.    We estimate the fair value of these instruments using Level 2 inputs. |
Management_Agreement_and_Relat
Management Agreement and Related Party Transactions (Notes) | 12 Months Ended |
Dec. 31, 2014 | |
Related Party Transactions [Abstract] | |
Management Agreement and Related Party Transactions | Management Agreement and Related Party Transactions  |
We are externally managed and advised by our Manager pursuant to the terms of a management agreement. The management agreement has been renewed through May 20, 2015 and provides for automatic one-year extension options thereafter. The management agreement may only be terminated by us or our Manager without cause, as defined in the management agreement, after the completion of the current renewal term, or the expiration of each subsequent automatic annual renewal term, provided that either party provide 180-days prior written notice of non-renewal of the management agreement. If we were to not renew the management agreement without cause, we must pay a termination fee on the last day of the applicable term, equal to three times the average annual management fee earned by our Manager during the prior 24-month period immediately preceding the most recently completed month prior to the effective date of termination. We may only not renew the management agreement with or without cause with the consent of the majority of our independent directors. We pay our Manager a management fee payable monthly in arrears in amount equal to one-twelfth of 1.25% of our month-end stockholders' equity, adjusted to exclude the effect of any unrealized gains or losses included in either retained earnings or OCI, each as computed in accordance with GAAP. | |
There is no incentive compensation payable to our Manager pursuant to the management agreement. For fiscal years 2014, 2013 and 2012, we recorded an expense for management fees of $119 million, $136 million and $113 million, respectively. Â | |
We are obligated to reimburse our Manager for its expenses incurred directly related to our operations, excluding employment-related expenses of our Manager's officers and employees and any American Capital employees who provide services to us pursuant to the management agreement. Our Manager has entered into an administrative services agreement with American Capital, pursuant to which American Capital will provide personnel, services and resources necessary for our Manager to perform its obligations under the management agreement. For fiscal years 2014, 2013 and 2012, we recorded expense reimbursements to our Manager of $8 million, $10 million and $9 million, respectively, primarily consisting of costs related to information technology systems. As of December 31, 2014 and 2013, $10 million and $13 million was payable to our Manager, respectively. |
Income_Taxes
Income Taxes | 12 Months Ended | ||||||||||||||||||||
Dec. 31, 2014 | |||||||||||||||||||||
Income Tax Disclosure [Abstract] | |||||||||||||||||||||
Income Taxes | Income Taxes | ||||||||||||||||||||
We elected to be taxed as a REIT under the provisions of the Internal Revenue Code and the corresponding provisions of state law, commencing with our initial tax year ended December 31, 2008. In order to continue to qualify as a REIT, we must annually distribute, in a timely manner to our stockholders, at least 90% of our taxable ordinary income, amongst other conditions. A REIT is not subject to tax on its earnings to the extent that it distributes its annual taxable income to its stockholders and as long as certain asset, income and stock ownership tests are met. We operate in a manner that will allow us to be taxed as a REIT. As permitted by the Internal Revenue Code, a REIT can designate dividends paid in the subsequent year as dividends of the current year if those dividends are both declared by the extended due date of the REIT's federal income tax return and paid to stockholders by the last day of the subsequent year. | |||||||||||||||||||||
As a REIT, if we fail to distribute in any calendar year at least the sum of (i) 85% of our ordinary income for such year, (ii) 95% of our capital gain net income for such year and (iii) any undistributed taxable income from the prior year, we are subject to a non-deductible 4% excise tax on the excess of such required distribution over the sum of (a) the amounts actually distributed and, if applicable, (b) the amounts of income we retained and on which we have paid corporate income tax. Dividends declared by December 31 and paid by January 31 are treated as having been a distribution of our taxable income for the prior tax year. | |||||||||||||||||||||
We and our domestic subsidiary, American Capital Agency TRS, LLC, have made a joint election to treat our subsidiary as a taxable REIT subsidiary. As such, American Capital Agency TRS, LLC, is subject to federal and state income tax. | |||||||||||||||||||||
We evaluate uncertain income tax positions, if any, in accordance with ASC Topic 740, Income Taxes ("ASC 740"). To the extent we incur interest and/or penalties in connection with our tax obligations, such amounts shall be classified as income tax expense on our consolidated statements of operations. | |||||||||||||||||||||
Income Taxes  | |||||||||||||||||||||
The following table summarizes dividends for federal income tax purposes declared for fiscal tax years 2014, 2013 and 2012 and their related tax characterization (in millions, except per share amounts): | |||||||||||||||||||||
Tax Characterization | |||||||||||||||||||||
Fiscal Tax Year | Dividends Declared Per Share | Dividends Declared | Ordinary Income Per Share | Qualified Dividends | Long-Term Capital Gains Per Share | ||||||||||||||||
8.000 % Series A Cumulative Redeemable Preferred Stock | |||||||||||||||||||||
Fiscal year 2014 | $ | 2 | $ | 14 | $ | 2 | $ | — | $ | — | |||||||||||
Fiscal year 2013 | $ | 2 | $ | 14 | $ | 2 | $ | 0.01598 | $ | — | |||||||||||
Fiscal year 2012 1 | $ | 1.056 | $ | 7 | $ | 0.9523 | $ | — | $ | 0.1037 | |||||||||||
7.750% Series B Cumulative Redeemable Preferred Stock (Per Depositary Share) | |||||||||||||||||||||
Fiscal year 2014 2 | $ | 0.844965 | $ | 6 | $ | 0.844965 | $ | — | $ | — | |||||||||||
Common Stock | |||||||||||||||||||||
Fiscal year 2014 | $ | 2.61 | $ | 921 | $ | 2.61 | $ | — | $ | — | |||||||||||
Fiscal year 2013 | $ | 3.75 | $ | 1,453 | $ | 3.75 | $ | 0.029963 | $ | — | |||||||||||
Fiscal year 2012 | $ | 5 | $ | 1,518 | $ | 4.5092 | $ | — | $ | 0.4908 | |||||||||||
  ______________________ | |||||||||||||||||||||
1 | Excludes Series A Preferred Stock dividend of $0.500000 per share declared on December 17, 2012 having a record date of January 1, 2013, which for federal income tax purposes is a fiscal year 2013 dividend. | ||||||||||||||||||||
2 | Excludes Series B Preferred Stock dividend of $0.484375 per depositary share declared on December 18, 2014 having a record date of January 1, 2015, which for federal income tax purposes is a fiscal year 2015 dividend. | ||||||||||||||||||||
As of December 31, 2014, we had distributed all of our estimated taxable income through fiscal year 2014. Accordingly, we do not expect to incur an income tax liability on our 2014 taxable income. For fiscal years 2013 and 2012, we distributed all of our taxable income within the limits prescribed by the Internal Revenue Code, which extended into the subsequent tax year. Accordingly, we did not incur an income tax liability on our 2013 and 2012 taxable income. | |||||||||||||||||||||
For fiscal years 2013 and 2012, we did not distribute the required minimum amount of taxable income pursuant to federal excise tax requirements, as described in Note 2, and consequently we accrued an excise tax of $3 million and $25 million, respectively, which is included in our net income tax provision on our accompanying consolidated statements of operations and comprehensive income. | |||||||||||||||||||||
For fiscal years 2013 and 2012, we recorded an income tax provision of $10 million and an income tax benefit of $6 million, respectively, attributable to our TRS, which is included in our net income tax provision on our accompanying consolidated statements of comprehensive income. The statutory combined federal and state corporate tax rate for our TRS was 39.5% for fiscal years 2013 and 2012. For fiscal year 2014, we did not record an income tax provision attributable to our TRS. | |||||||||||||||||||||
Based on our analysis of any potential uncertain income tax positions, we concluded that we do not have any uncertain tax positions that meet the recognition or measurement criteria of ASC 740 as of December 31, 2014, 2013 and 2012. Our tax returns for tax years 2011 and forward are open to examination by the IRS. In the event that we incur income tax related interest and penalties, our policy is to classify them as a component of provision for income taxes. |
Stockholders_Equity
Stockholders' Equity | 12 Months Ended | ||||||||||||||
Dec. 31, 2014 | |||||||||||||||
Stockholders' Equity Note [Abstract] | |||||||||||||||
Stockholders' Equity | Stockholders' Equity  | ||||||||||||||
Preferred Stock | |||||||||||||||
Pursuant to our amended and restated certificate of incorporation, we are authorized to designate and issue up to 10.0 million shares of preferred stock in one or more classes or series. Our Board of Directors has designated 6.9 million shares as 8.000% Series A Cumulative Redeemable Preferred Stock ("Series A Preferred Stock") and 8,050 shares as 7.750% Series B Cumulative Redeemable Preferred Stock ("Series B Preferred Stock"). As of December 31, 2014 we had 3.1 million shares of authorized but unissued shares of preferred stock. Our Board of Directors may designate additional series of authorized preferred stock ranking junior to or in parity with the Series A or Series B Preferred Stock or designate additional shares of the Series A or Series B Preferred Stock and authorize the issuance of such shares. | |||||||||||||||
In April 2012, we completed a public offering in which 6.9 million shares of our Series A Preferred Stock were sold to the underwriters at a price of $24.2125 per share. Upon completion of the offering we received proceeds, net of offering expenses, of approximately $167 million. Our Series A Preferred Stock has no stated maturity and is not subject to any sinking fund or mandatory redemption. Under certain circumstances upon a change of control, our Series A Preferred Stock is convertible to shares of our common stock. Holders of Series A Preferred Stock have no voting rights, except under limited conditions, and holders are entitled to receive cumulative cash dividends at a rate of 8.000% per annum of the $25.00 per share liquidation preference before holders of our common stock are entitled to receive any dividends. Shares of our Series A Preferred Stock are redeemable at $25.00 per share plus accumulated and unpaid dividends (whether or not declared) exclusively at our option commencing on April 5, 2017, or earlier under certain circumstances intended to preserve our qualification as a REIT for federal income tax purposes. Dividends are payable quarterly in arrears on the 15th day of each January, April, July and October. As of December 31, 2014, we had declared all required quarterly dividends on our Series A Preferred Stock. | |||||||||||||||
In May 2014, we completed a public offering in which 7.0 million depositary shares were sold to the underwriters at a price of $24.2125 per depositary share for proceeds, net of offering expenses, of approximately $169 million. Each depositary share represents a 1/1,000th interest in a share of our Series B Preferred Stock. Our Series B Preferred Stock has no stated maturity, is not subject to any sinking fund or mandatory redemption and ranks on parity with our Series A Preferred Stock. Under certain circumstances upon a change of control, our Series B Preferred Stock is convertible to shares of our common stock. Holders of depositary shares have no voting rights, except under limited conditions, and are entitled to receive cumulative cash dividends at a rate of 7.750% per annum of the $25.00 per depositary share liquidation preference before holders of our common stock are entitled to receive any dividends. Dividends are payable quarterly in arrears on the 15th day of each January, April, July and October. Depositary shares are redeemable at $25.00 per depositary share plus accumulated and unpaid dividends (whether or not declared) exclusively at our option commencing on May 8, 2019 or earlier under certain circumstances intended to preserve our qualification as a REIT for federal income tax purposes. As of December 31, 2014, we had declared all required quarterly dividends on the Series B Preferred Stock underlying our depositary shares. | |||||||||||||||
Common Stock Repurchase Program | |||||||||||||||
In October 2012, our Board of Directors adopted a program that provided for stock repurchases of up to $500 million of our outstanding shares of common stock through December 31, 2013. In September 2013, our Board of Directors increased the authorized amount to $1 billion of our outstanding shares of common stock and extended its authorization through December 31, 2014. In January 2014, our Board of Directors increased the authorized amount by an additional $1 billion of our outstanding shares of common stock through December 31, 2014. In October 2014, our Board of Directors extended its authorization through December 31, 2015. Shares of our common stock may be purchased in the open market, including through block purchases, or through privately negotiated transactions, or pursuant to any trading plan that may be adopted in accordance with Rule 10b5-1 of the Securities Exchange Act of 1934, as amended.  The timing, manner, price and amount of any repurchases will be determined at our discretion and the program may be suspended, terminated or modified at any time for any reason. We intend to only consider repurchasing shares of our common stock when the purchase price is less than our estimate of our current net asset value per common share. Generally, when we repurchase our common stock at a discount to our net asset value, the net asset value of our remaining shares of common stock outstanding increases. In addition, we do not intend to repurchase any shares from directors, officers or other affiliates. The program does not obligate us to acquire any specific number of shares, and all repurchases will be made in accordance with Rule 10b-18, which sets certain restrictions on the method, timing, price and volume of stock repurchases. | |||||||||||||||
During fiscal year 2014, we repurchased approximately 3.4 million shares of our common stock at an average repurchase price of $22.10 per share, including expenses, totaling $74 million. During fiscal year 2013, we repurchased approximately 40.3 million shares of our common stock at an average repurchase price of $21.25 per share, including expenses, totaling $856 million. During fiscal year 2012, we repurchased 2.7 million shares of our common stock at an average repurchase price of $29.00 per share, including expenses, totaling $77 million. As of December 31, 2014, the total remaining amount authorized for repurchases of our common stock was $992 million. | |||||||||||||||
Follow-On Equity Offerings | |||||||||||||||
During fiscal years 2013 and 2012, we completed follow-on public offerings of shares of our common stock summarized in the table below (in millions, except per share amounts). During fiscal year 2014, we did not complete any follow-on public offerings of shares of our common stock. | |||||||||||||||
Public Offering | Price Received | Shares | Net Proceeds 2 | ||||||||||||
Per Share 1 | |||||||||||||||
Fiscal year 2013 | |||||||||||||||
Mar-13 | $31.34 | 57.5 | $ | 1,803 | |||||||||||
Total fiscal year 2013 | 57.5 | $ | 1,803 | ||||||||||||
Fiscal year 2012 | |||||||||||||||
Mar-12 | $29.00 | 71.2 | $ | 2,063 | |||||||||||
Jul-12 | $33.70 | 36.8 | 1,240 | ||||||||||||
Total fiscal year 2012 | 108 | $ | 3,303 | ||||||||||||
   ________________________ | |||||||||||||||
1 | Price received per share is gross of underwriters' discount, if applicable, and other offering costs. | ||||||||||||||
2 | Net proceeds are net of the underwriters' discount, if applicable, and other offering costs. | ||||||||||||||
At-the-Market Offering Program | |||||||||||||||
We have entered into sales agreements with sales agents to publicly offer and sell shares of our common stock in privately negotiated and/or at-the-market transactions from time to time. The table below summarizes sales our common stock under such sales agreements during fiscal year 2012 (in millions, except per share amounts): | |||||||||||||||
At-the-Market Offering | Price Received | Shares | Net Proceeds | ||||||||||||
Per Share | |||||||||||||||
Fiscal year 2012 | $ | 31.41 | 9.5 | $ | 298 | ||||||||||
During fiscal years 2014 and 2013, there were no shares issued under this program. As of December 31, 2014, 16.7 million shares remain available for issuance under this program. | |||||||||||||||
Dividend Reinvestment and Direct Stock Purchase Plan | |||||||||||||||
We sponsor a dividend reinvestment and direct stock purchase plan through which stockholders may purchase additional shares of our common stock by reinvesting some or all of the cash dividends received on shares of our common stock. Stockholders may also make optional cash purchases of shares of our common stock subject to certain limitations detailed in the plan prospectus. During fiscal years 2014, 2013 and 2012, there were no shares issued under the plan. As of December 31, 2014, 21.7 million shares remain available for issuance under the plan. | |||||||||||||||
Accumulated Other Comprehensive Income (Loss) | |||||||||||||||
The following tables summarize changes to accumulated OCI for fiscal years 2014, 2013 and 2012 (in millions): | |||||||||||||||
Accumulated Other Comprehensive Income (Loss) | Net Unrealized Gain (Loss) on Available-for-Sale MBS | Net Unrealized Gain (Loss) on Swaps | Total Accumulated | ||||||||||||
OCI | |||||||||||||||
Balance | |||||||||||||||
Twelve Months Ended December 31, 2014 | |||||||||||||||
Balance as of December 31, 2013 | $ | (1,087 | ) | $ | (296 | ) | $ | (1,383 | ) | ||||||
OCI before reclassifications | 1,708 | — | 1,708 | ||||||||||||
Amounts reclassified from accumulated OCI | (51 | ) | 156 | 105 | |||||||||||
Balance as of December 31, 2014 | $ | 570 | $ | (140 | ) | $ | 430 | ||||||||
Twelve Months Ended December 31, 2013 | |||||||||||||||
Balance as of December 31, 2012 | $ | 2,040 | $ | (485 | ) | $ | 1,555 | ||||||||
OCI before reclassifications | (4,535 | ) | — | (4,535 | ) | ||||||||||
Amounts reclassified from accumulated OCI | 1,408 | 189 | 1,597 | ||||||||||||
Balance as of December 31, 2013 | $ | (1,087 | ) | $ | (296 | ) | $ | (1,383 | ) | ||||||
Twelve Months Ended December 31, 2012 | |||||||||||||||
Balance as of December 31, 2011 | $ | 1,001 | $ | (690 | ) | $ | 311 | ||||||||
OCI before reclassifications | 2,235 | — | 2,235 | ||||||||||||
Amounts reclassified from accumulated OCI | (1,196 | ) | 205 | (991 | ) | ||||||||||
Balance as of December 31, 2012 | $ | 2,040 | $ | (485 | ) | $ | 1,555 | ||||||||
The following tables summarize reclassifications out of accumulated OCI for fiscal years 2014, 2013 and 2012 (in millions): | |||||||||||||||
Fiscal Year | Line Item in the Consolidated | ||||||||||||||
Statements of Comprehensive Income | |||||||||||||||
Amounts Reclassified from Accumulated OCI | 2014 | 2013 | 2012 | Where Net Income is Presented | |||||||||||
(Gain) loss amounts reclassified from accumulated OCI for available-for-sale MBS | $ | (51 | ) | $ | 1,408 | $ | (1,196 | ) | Gain (loss) on sale of agency securities, net | ||||||
Periodic interest costs of interest rate swaps previously designated as hedges under GAAP, net | 156 | 189 | 205 | Interest expense | |||||||||||
     Total reclassifications | $ | 105 | $ | 1,597 | $ | (991 | ) | ||||||||
Long-term Incentive Plan  | |||||||||||||||
We sponsor an equity incentive plan to provide for the issuance of equity-based awards, including stock options, restricted stock, restricted stock units and unrestricted stock awards to our independent directors. | |||||||||||||||
During fiscal year 2014, we granted restricted stock unit ("RSU") awards under the plan totaling of $375,000, or $75,000 to each independent director. The awards represent the right to receive an equivalent number of shares of common stock as measured by the closing price of our common stock on the grant date, plus any equivalent RSUs for dividends declared on our common stock, and vest over a 13 month period, subject to the terms and conditions of the plan. As of December 31, 2014, we had unvested RSU common stock equivalents totaling 18,060 shares, or 3,612 shares for each independent director, based on a closing share price of $22.36 on the grant date and including accrued dividend equivalent RSUs. | |||||||||||||||
During fiscal years 2013 and 2012, we granted restricted common stock awards under the plan. The restricted stock awards had a grant date fair value equal to the closing price of our common stock on such date and vest annually over three years. During fiscal year 2013, we granted 15,000 shares of restricted common stock, or 3,000 shares to each independent director, with a weighted average grant date fair value of $31.20 per share. During fiscal year 2012, we granted 12,000 shares of restricted common stock, or 3,000 shares to each independent director, with a grant date fair value of $29.48 per share. As of December 31, 2014, we had 14,000 shares of unvested restricted common stock outstanding under the plan. | |||||||||||||||
During fiscal years 2014, 2013 and 2012, a total of 13,000, 9,500 and 7,000 shares of restricted common stock vested under the plan, respectively. The total fair value of restricted stock awards that vested during fiscal years 2014, 2013 and 2012 was approximately $286,000, $290,000 and $222,000, respectively, based upon the fair market value of our common stock on the vesting date. | |||||||||||||||
During fiscal years 2014, 2013 and 2012, we recognized approximately $540,000, $383,000 and $282,000 of compensation expense under the plan, respectively. As of December 31, 2014, we had unrecognized compensation costs related to awards granted under the plan of approximately $317,000. As of December 31, 2014, approximately 29,000 shares of common stock remained available for future issuance under the plan, net of unissued shares reserved for unvested RSU awards and dividend equivalent RSUs outstanding as of December 31, 2014. |
Quarterly_Results_Quarterly_Re
Quarterly Results Quarterly Results (Notes) | 12 Months Ended | |||||||||||||||
Dec. 31, 2014 | ||||||||||||||||
Quarterly Financial Information Disclosure [Abstract] | ||||||||||||||||
Quarterly Results | Quarterly Results (Unaudited) Â | |||||||||||||||
The following is a presentation of the quarterly results of operations and comprehensive income for fiscal years 2014 and 2013 (in millions, except per share data). | ||||||||||||||||
Quarter Ended | ||||||||||||||||
March 31, | June 30, | September 30, | 31-Dec-14 | |||||||||||||
2014 | Â 2014 | Â 2014 | ||||||||||||||
Interest income: | ||||||||||||||||
Interest income | $ | 399 | $ | 385 | $ | 357 | $ | 331 | ||||||||
Interest expense | 108 | 95 | 88 | 81 | ||||||||||||
Net interest income | 291 | 290 | 269 | 250 | ||||||||||||
Other loss: | ||||||||||||||||
(Loss) gain on sale of agency securities, net | (19 | ) | 22 | 14 | 34 | |||||||||||
Loss on derivative instruments and other securities, net | (378 | ) | (244 | ) | (51 | ) | (572 | ) | ||||||||
Total other loss, net | (397 | ) | (222 | ) | (37 | ) | (538 | ) | ||||||||
Expenses: | ||||||||||||||||
Management fees | 29 | 30 | 30 | 30 | ||||||||||||
General and administrative expenses | 6 | 6 | 5 | 5 | ||||||||||||
Total expenses | 35 | 36 | 35 | 35 | ||||||||||||
Net (loss) income | (141 | ) | 32 | 197 | (323 | ) | ||||||||||
Dividend on preferred stock | 3 | 5 | 7 | 7 | ||||||||||||
Net (loss) income (attributable) available to common shareholders | $ | (144 | ) | $ | 27 | $ | 190 | $ | (330 | ) | ||||||
Net (loss) income | $ | (141 | ) | $ | 32 | $ | 197 | $ | (323 | ) | ||||||
Other comprehensive income (loss): | ||||||||||||||||
Unrealized gain (loss) on available-for-sale securities, net | 521 | 790 | (253 | ) | 599 | |||||||||||
Unrealized gain on derivative instruments, net | 43 | 40 | 38 | 35 | ||||||||||||
Other comprehensive income (loss) | 564 | 830 | (215 | ) | 634 | |||||||||||
Comprehensive income (loss) | 423 | 862 | (18 | ) | 311 | |||||||||||
Dividend on preferred stock | 3 | 5 | 7 | 7 | ||||||||||||
Comprehensive income (loss) available (attributable) to common shareholders | $ | 420 | $ | 857 | $ | (25 | ) | $ | 304 | |||||||
Weighted average number of common shares outstanding-basic and diluted | 354.8 | 352.8 | 352.8 | 352.8 | ||||||||||||
Net (loss) income per common share - basic and diluted | $ | (0.41 | ) | $ | 0.08 | $ | 0.54 | $ | (0.94 | ) | ||||||
Comprehensive income (loss) per common share - basic and diluted | $ | 1.18 | $ | 2.43 | $ | (0.07 | ) | $ | 0.86 | |||||||
Dividends declared per common share | $ | 0.65 | $ | 0.65 | $ | 0.65 | $ | 0.66 | ||||||||
Quarter Ended | ||||||||||||||||
March 31, | June 30, | September 30, | December 31, | |||||||||||||
2013 | Â 2013 | 2013 | 2013 | |||||||||||||
Interest income: | ||||||||||||||||
Interest income | $ | 547 | $ | 545 | $ | 558 | $ | 542 | ||||||||
Interest expense | 140 | 131 | 145 | 120 | ||||||||||||
Net interest income | 407 | 414 | 413 | 422 | ||||||||||||
Other (loss) income: | ||||||||||||||||
(Loss) gain on sale of agency securities, net | (26 | ) | 17 | (733 | ) | (667 | ) | |||||||||
(Loss) gain on derivative instruments and other securities, net | (98 | ) | 1,444 | (339 | ) | 184 | ||||||||||
Total other (loss) income, net | (124 | ) | 1,461 | (1,072 | ) | (483 | ) | |||||||||
Expenses: | ||||||||||||||||
Management fees | 33 | 37 | 35 | 31 | ||||||||||||
General and administrative expenses | 9 | 9 | 7 | 6 | ||||||||||||
Total expenses | 42 | 46 | 42 | 37 | ||||||||||||
Income (loss) before income tax | 241 | 1,829 | (701 | ) | (98 | ) | ||||||||||
Provision for income tax, net | 10 | — | — | 3 | ||||||||||||
Net income (loss) | 231 | 1,829 | (701 | ) | (101 | ) | ||||||||||
Dividend on preferred stock | 3 | 3 | 3 | 3 | ||||||||||||
Net income (loss) available (attributable) to common shareholders | $ | 228 | $ | 1,826 | $ | (704 | ) | $ | (104 | ) | ||||||
Net income (loss) | $ | 231 | $ | 1,829 | $ | (701 | ) | $ | (101 | ) | ||||||
Other comprehensive (loss) income: | ||||||||||||||||
Unrealized (loss) gain on available-for-sale securities, net | (837 | ) | (2,813 | ) | 833 | (311 | ) | |||||||||
Unrealized gain on derivative instruments, net | 49 | 48 | 47 | 46 | ||||||||||||
Other comprehensive (loss) income | (788 | ) | (2,765 | ) | 880 | (265 | ) | |||||||||
Comprehensive (loss) income | (557 | ) | (936 | ) | 179 | (366 | ) | |||||||||
Dividend on preferred stock | 3 | 3 | 3 | 3 | ||||||||||||
Comprehensive (loss) income (attributable) available to common shareholders | $ | (560 | ) | $ | (939 | ) | $ | 176 | $ | (369 | ) | |||||
Weighted average number of common shares outstanding-basic and diluted | 356.2 | 396.4 | 390.6 | 373 | ||||||||||||
Net income (loss) per common share - basic and diluted | $ | 0.64 | $ | 4.61 | $ | (1.80 | ) | $ | (0.28 | ) | ||||||
Comprehensive (loss) income per common share - basic and diluted | $ | (1.57 | ) | $ | (2.37 | ) | $ | 0.45 | $ | (0.99 | ) | |||||
Dividends declared per common share | $ | 1.25 | $ | 1.05 | $ | 0.8 | $ | 0.65 | ||||||||
Subsequent_Event_Notes
Subsequent Event (Notes) | 12 Months Ended |
Dec. 31, 2014 | |
Subsequent Events [Abstract] | |
Subsequent Event | Subsequent Event |
On January 15, 2015, we declared a cash dividend of $0.22 per share of common stock to common shareholders of record as of January 30, 2015, paid on February 6, 2015. On February 12, 2015, we declared a cash dividend of $0.22 per share of common stock to common shareholders of record as of February 27, 2015, payable on March 6, 2015. |
Summary_of_Significant_Account1
Summary of Significant Accounting Policies (Policy) | 12 Months Ended |
Dec. 31, 2014 | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
Basis of Presentation and Consolidation | Basis of Presentation and Consolidation |
Our consolidated financial statements are prepared in accordance with accounting principles generally accepted in the United States ("GAAP"). | |
Our consolidated financial statements include the accounts of our wholly-owned subsidiary, American Capital Agency TRS, LLC, and variable interest entities for which we are the primary beneficiary. Significant intercompany accounts and transactions have been eliminated. | |
Use of Estimates | Use of Estimates |
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, disclosure of contingent assets and liabilities at the date of the financial statements and revenues and expenses during the period reported. Actual results could differ from those estimates. | |
Earnings Per Share, Policy [Policy Text Block] | Earnings per Share |
Basic earnings per share ("EPS") is computed by dividing net income by the weighted average number of common shares outstanding during the period. Diluted EPS assumes the conversion, exercise or issuance of all potential common stock equivalents unless the effect is to reduce a loss or increase the income per share. | |
Accumulated Other Comprehensive Income (Loss) | Accumulated Other Comprehensive Income (Loss)Â |
Accounting Standards Codification ("ASC") Topic 220, Comprehensive Income ("ASC 220"), divides comprehensive income into net income and other comprehensive income (loss) ("OCI"), which includes unrealized gains and losses on securities classified as available-for-sale and unrealized gains and losses on derivative financial instruments that are designated and qualify for cash flow hedge accounting under ASC Topic 815, Derivatives and Hedging ("ASC 815"). During fiscal year 2011, we discontinued designating our derivative financial instruments, principally interest rate swaps, as cash flow hedges. For further information regarding our discontinuation of cash flow hedge accounting, see Derivatives Instruments below and Note 5. | |
Cash and Cash Equivalents | Cash and Cash Equivalents |
Cash and cash equivalents consist of unrestricted demand deposits and highly liquid investments with original maturities of three months or less. Cash and cash equivalents are carried at cost, which approximates fair value. | |
Restricted Cash | Restricted Cash |
Restricted cash includes cash pledged as collateral for clearing and executing trades, repurchase agreements, interest rate swaps and other derivative instruments. Restricted cash is carried at cost, which approximates fair value. | |
Investment Securities | Investment Securities |
ASC Topic 320, Investments—Debt and Equity Securities ("ASC 320"), requires that at the time of purchase, we designate a security as held-to-maturity, available-for-sale or trading, depending on our ability and intent to hold such security to maturity. Securities classified as trading and available-for-sale are reported at fair value, while securities classified as held-to-maturity are reported at amortized cost. We may sell any of our agency securities as part of our overall management of our investment portfolio. Accordingly, we typically designate our agency securities as available-for-sale. All securities classified as available-for-sale are reported at fair value, with unrealized gains and losses reported in accumulated OCI, a separate component of stockholders' equity. Upon the sale of a security, we determine the cost of the security and the amount of unrealized gains or losses to reclassify out of accumulated OCI into earnings based on the specific identification method. | |
Interest-only securities and inverse interest-only securities (collectively referred to as "interest-only securities") represent our right to receive a specified proportion of the contractual interest flows of specific agency CMO securities. Principal-only securities represent our right to receive the contractual principal flows of specific agency CMO securities. Interest and principal-only securities are measured at fair value through earnings in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Our investments in interest and principal-only securities are included in agency securities, at fair value on the accompanying consolidated balance sheets. | |
REIT equity securities represent investments in the common stock of other publicly traded mortgage REITs that invest predominantly in agency MBS. We designate our investments in REIT equity securities as trading securities and report them at fair value on the accompanying consolidated balance sheets. | |
We estimate the fair value of our agency securities based on a market approach using "Level 2" inputs from third-party pricing services and non-binding dealer quotes derived from common market pricing methods. Such methods incorporate, but are not limited to, reported trades and executable bid and asked prices for similar securities, benchmark interest rate curves, such as the spread to the U.S. Treasury rate and interest rate swap curves, convexity, duration and the underlying characteristics of the particular security, including coupon, periodic and life caps, rate reset period, issuer, additional credit support and expected life of the security. We estimate the fair value of our REIT equity securities on a market approach using "Level 1" inputs based on quoted market prices. Refer to Note 7 for further discussion of fair value measurements. | |
We evaluate our agency securities for other-than-temporary impairment ("OTTI") on at least a quarterly basis. The determination of whether a security is other-than-temporarily impaired may involve judgments and assumptions based on subjective and objective factors. When a security is impaired, an OTTI is considered to have occurred if any one of the following three conditions exists as of the financial reporting date: (i)Â we intend to sell the security (that is, a decision has been made to sell the security), (ii)Â it is more likely than not that we will be required to sell the security before recovery of its amortized cost basis or (iii) we do not expect to recover the security's amortized cost basis, even if we do not intend to sell the security and it is not more likely than not that we will be required to sell the security. A general allowance for unidentified impairments in a portfolio of securities is not permitted. | |
If either of the first two conditions exists as of the financial reporting date, the entire amount of the impairment loss, if any, is recognized in earnings as a realized loss and the cost basis of the security is adjusted to its fair value. However, with respect to the first condition, since the liquidity of the agency securities market allows us to obtain competitive bids and execute on a sale transaction typically within a day of making the decision to sell a security, we generally do not make decisions to sell specific agency securities until shortly prior to initiating a sell order. In some instances, we may sell specific agency securities by delivering the securities into existing short to-be-announced ("TBA") contracts. TBA market conventions require the identification of the specific securities to be delivered no later than 48 hours prior to settlement. If we settle a short TBA contract through the delivery of securities, we will generally identify the specific securities to be delivered within one to two days before the 48-hour deadline. | |
If the third condition exists, the OTTI is separated into (i) the amount relating to credit loss (the "credit component") and (ii) the amount relating to all other factors (the "non-credit components"). Only the credit component is recognized in earnings, with the non-credit components recognized in OCI. However, in evaluating if the third condition exists, our investments in agency securities typically would not have a credit component since the principal and interest are guaranteed by a GSE and, therefore, any unrealized loss is not the result of a credit loss. In addition, since we designate our agency securities as available-for-sale securities with unrealized gains and losses recognized in OCI, any impairment loss for non-credit components is already recognized in OCI. | |
We did not recognize any OTTI charges on our investment securities for fiscal years 2014, 2013 or 2012. | |
Interest Income | Interest Income |
Interest income is accrued based on the outstanding principal amount of the investment securities and their contractual terms. Premiums or discounts associated with the purchase of investment securities are amortized or accreted into interest income, respectively, over the projected lives of the securities, including contractual payments and estimated prepayments using the effective interest method in accordance with ASC Subtopic 310-20, Receivables—Nonrefundable Fees and Other Costs ("ASC 310-20"). | |
We estimate long-term prepayment speeds of our agency securities using a third-party service and market data. The third-party service estimates prepayment speeds using models that incorporate the forward yield curve, current mortgage rates and mortgage rates of the outstanding loans, age and size of the outstanding loans, loan-to-value ratios, volatility and other factors. We review the prepayment speeds estimated by the third-party service and compare the results to market consensus prepayment speeds, if available. We also consider historical prepayment speeds and current market conditions to validate the reasonableness of the prepayment speeds estimated by the third-party service and, based on our Manager's judgment, we may make adjustments to its estimates. Actual and anticipated prepayment experience is reviewed quarterly and effective yields are recalculated when differences arise between (i) our previously estimated future prepayments and (ii) the actual prepayments to date plus our currently estimated future prepayments. If the actual and estimated future prepayment experience differs from our prior estimate of prepayments, we are required to record an adjustment in the current period to the amortization or accretion of premiums and discounts for the cumulative difference in the effective yield through the reporting date. | |
Repurchase and Resale Agreements | Repurchase Agreements |
We finance the acquisition of securities for our investment portfolio through repurchase transactions under master repurchase agreements. Pursuant to ASC Topic 860, Transfers and Servicing ("ASC 860"), we account for repurchase transactions as collateralized financing transactions, which are carried at their contractual amounts (cost), plus accrued interest, as specified in the respective transactions. Our repurchase agreements typically have maturities of less than one year, but may extend up to five years or more. Interest rates under our repurchase agreements generally correspond to one, three or six month LIBOR plus or minus a fixed spread. The fair value of our repurchase agreements is assumed to equal cost as the interest rates are considered to be at market. | |
Reverse Repurchase Agreements and Obligation to Return Securities Borrowed under Reverse Repurchase Agreements | Reverse Repurchase Agreements and Obligation to Return Securities Borrowed under Reverse Repurchase Agreements |
We from time to time borrow securities to cover short sales of U.S. Treasury securities through reverse repurchase transactions under our master repurchase agreements (see Derivatives Instruments below). We account for these as securities borrowing transactions and recognize an obligation to return the borrowed securities at fair value on the balance sheet based on the value of the underlying borrowed securities as of the reporting date. Our reverse repurchase agreements generally mature daily. The fair value of our reverse repurchase agreements is assumed to equal cost as the interest rates are generally reset daily. | |
Manager Compensation | Manager Compensation |
Our management agreement provides for the payment to our Manager of a management fee and reimbursement of certain operating expenses, which are accrued and expensed during the period for which they are earned or incurred. Refer to Note 8 for the terms of our management agreement and the administrative services agreement between American Capital and our Manager. | |
Derivative Instruments | Derivative Instruments |
We use a variety of derivative instruments to hedge a portion of our exposure to market risks, including interest rate risk, prepayment risk and extension risk. The objective of our risk management strategy is to reduce fluctuations in net book value over a range of interest rate scenarios. In particular, we attempt to mitigate the risk of the cost of our variable rate liabilities increasing during a period of rising interest rates. The principal instruments that we use are interest rate swaps and options to enter into interest rate swaps ("swaptions"). We also utilize forward contracts for the purchase or sale of agency MBS securities on a generic pool basis, or a TBA contract, and we utilize U.S. Treasury securities and U.S. Treasury futures contracts, primarily through short sales. We may also purchase or write put or call options on TBA securities and we may invest in other types of mortgage derivatives, such as interest and principal-only securities. | |
We may also enter into TBA contracts as a means of investing in and financing agency securities (thereby increasing our "at risk" leverage) or as a means of disposing of or reducing our exposure to agency securities (thereby reducing our "at risk" leverage). Pursuant to TBA contracts, we agree to purchase or sell, for future delivery, agency securities with certain principal and interest terms and certain types of collateral, but the particular agency securities to be delivered are not identified until shortly before the TBA settlement date. We may also choose, prior to settlement, to move the settlement of these securities out to a later date by entering into an offsetting short or long position (referred to as a "pair off"), net settling the paired off positions for cash, and simultaneously purchasing or selling a similar TBA contract for a later settlement date. This transaction is commonly referred to as a "dollar roll." The agency securities purchased or sold for a forward settlement date are typically priced at a discount to agency securities for settlement in the current month. This difference (or discount) is referred to as the "price drop." The price drop is the economic equivalent of net interest carry income on the underlying agency securities over the roll period (interest income less implied financing cost) and is commonly referred to as "dollar roll income/loss." Consequently, forward purchases of agency securities and dollar roll transactions represent a form of off-balance sheet financing. | |
We account for derivative instruments in accordance with ASC Topic 815, Derivatives and Hedging ("ASC 815"). ASC 815 requires an entity to recognize all derivatives as either assets or liabilities in the balance sheet and to measure those instruments at fair value. | |
Our derivative agreements generally contain provisions that allow for netting or setting off derivative assets and liabilities with the counterparty; however, we report related assets and liabilities on a gross basis in our consolidated balance sheets. Derivative instruments in a gain position are reported as derivative assets at fair value and derivative instruments in a loss position are reported as derivative liabilities at fair value in our consolidated balance sheets. Changes in fair value of derivative instruments and periodic settlements related to our derivative instruments are recorded in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. Cash receipts and payments related to derivative instruments are classified in our consolidated statements of cash flows according to the underlying nature or purpose of the derivative transaction, generally in the investing section. | |
The use of derivative instruments creates exposure to credit risk relating to potential losses that could be recognized in the event that the counterparties to these instruments fail to perform their obligations under the contracts. We attempt to minimize this risk by limiting our counterparties to major financial institutions with acceptable credit ratings, monitoring positions with individual counterparties and adjusting posted collateral as required. | |
Discontinuation of hedge accounting for interest rate swap agreements | |
Prior to September 30, 2011, we entered into interest rate swap agreements typically with the intention of qualifying for hedge accounting under ASC 815. However, as of September 30, 2011, we elected to discontinue hedge accounting for our interest rate swaps. Upon discontinuation of hedge accounting, the net deferred loss related to our de-designated interest rate swaps remained in accumulated OCI and is being reclassified from accumulated OCI into interest expense on a straight-line basis over the remaining term of each interest rate swap. | |
Interest rate swap agreements | |
We use interest rate swaps to hedge the variable cash flows associated with borrowings made under our repurchase agreement facilities. Under our interest rate swap agreements, we typically pay a fixed rate and receive a floating rate based on one, three or six-month LIBOR ("payer swaps") with terms up to 20 years. The floating rate we receive under our swap agreements has the effect of offsetting the repricing characteristics of our repurchase agreements and cash flows on such liabilities. Our swap agreements are privately negotiated in the over−the−counter ("OTC") market, with swap agreements entered into subsequent to May 2013 subject to central clearing through a registered commodities exchange ("centrally cleared swaps"). | |
We estimate the fair value of our centrally cleared interest rate swaps using the daily settlement price determined by the respective exchange. Centrally cleared swaps are valued by the exchange using a pricing model that references the underlying rates including the overnight index swap rate and LIBOR forward rate to produce the daily settlement price. | |
We estimate the fair value of our "non-centrally cleared" swaps using a combination of inputs from counterparty and third-party pricing models to estimate the net present value of the future cash flows using the forward interest rate yield curve in effect as of the end of the measurement period. We also incorporate both our own and our counterparties' nonperformance risk in estimating the fair value of our interest rate swaps. In considering the effect of nonperformance risk, we consider the impact of netting and credit enhancements, such as collateral postings and guarantees, and have concluded that our own and our counterparty risk is not significant to the overall valuation of these agreements. | |
Interest rate swaptions | |
We purchase interest rate swaptions generally to help mitigate the potential impact of larger, more rapid changes in interest rates on the performance of our investment portfolio. Interest rate swaptions provide us the option to enter into an interest rate swap agreement for a predetermined notional amount, stated term and pay and receive interest rates in the future. Our swaption agreements typically provide us the option to enter into a pay fixed rate interest rate swap, which we refer as "payer swaptions." We may also enter into swaption agreements that provide us the option to enter into a receive fixed interest rate swap, which we refer to as "receiver swaptions." The premium paid for interest rate swaptions is reported as an asset in our consolidated balance sheets. The premium is valued at an amount equal to the fair value of the swaption that would have the effect of closing the position adjusted for nonperformance risk, if any. The difference between the premium and the fair value of the swaption is reported in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. If a swaption expires unexercised, the realized loss on the swaption would be equal to the premium paid. If we sell or exercise a swaption, the realized gain or loss on the swaption would be equal to the difference between the cash or the fair value of the underlying interest rate swap received and the premium paid. | |
Our interest rate swaption agreements are privately negotiated in the OTC market and are not subject to central clearing. We estimate the fair value of interest rate swaptions using a combination of inputs from counterparty and third-party pricing models based on the fair value of the future interest rate swap that we have the option to enter into as well as the remaining length of time that we have to exercise the option, adjusted for non-performance risk, if any. | |
TBA securities | |
A TBA security is a forward contract for the purchase ("long position") or sale ("short position") of agency MBS at a predetermined price, face amount, issuer, coupon and stated maturity on an agreed-upon future date. The specific agency MBS delivered into the contract upon the settlement date, published each month by the Securities Industry and Financial Markets Association, are not known at the time of the transaction. We may enter into TBA contracts as a means of hedging against short-term changes in interest rates. We may also enter into TBA contracts as a means of acquiring or disposing of agency securities and we may from time to time utilize TBA dollar roll transactions to finance agency MBS purchases. | |
We account for TBA contracts as derivative instruments since either the TBA contracts do not settle in the shortest period of time possible or we cannot assert that it is probable at inception and throughout the term of the TBA contract that we will take physical delivery of the agency security upon settlement of the contract. We account for TBA dollar roll transactions as a series of derivative transactions. Gains, losses and dollar roll income associated with our TBA contracts and dollar roll transactions are recognized in our consolidated statements of comprehensive income in gain (loss) on derivative instruments and other securities, net. | |
We estimate the fair value of TBA securities based on similar methods used to value our agency MBS securities. | |
U.S. Treasury securities | |
We purchase or sell short U.S. Treasury securities and U.S. Treasury futures contracts to help mitigate the potential impact of changes in interest rates on the performance of our portfolio. We borrow securities to cover short sales of U.S. Treasury securities under reverse repurchase agreements. We account for these as securities borrowing transactions and recognize an obligation to return the borrowed securities at fair value on the balance sheet based on the value of the underlying borrowed securities as of the reporting date. Gains and losses associated with purchases and short sales of U.S. Treasury securities and U.S. Treasury futures contracts are recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. | |
Variable Interest Entities | Variable Interest Entities |
ASC Topic 810, Consolidation ("ASC 810"), requires an enterprise to consolidate a variable interest entity ("VIE") if it is deemed the primary beneficiary of the VIE. Further, ASC 810 requires a qualitative assessment to determine the primary beneficiary of a VIE and ongoing assessments of whether an enterprise is the primary beneficiary of a VIE as well as additional disclosures for entities that have variable interests in VIEs. | |
We have entered into transactions involving CMO trusts, which are VIEs. We will consolidate a CMO trust if we are the CMO trust's primary beneficiary; that is, if we have a variable interest that provides us with a controlling financial interest in the CMO trust. An entity is deemed to have a controlling financial interest if the entity has the power to direct the activities of a VIE that most significantly impact the VIE's economic performance and the obligation to absorb losses of or right to receive benefits from the VIE that could potentially be significant to the VIE. As part of the qualitative assessment in determining if we have a controlling financial interest, we evaluate whether we control the selection of financial assets transferred to the CMO trust. For each of our consolidated CMO trusts we controlled the selection of the agency MBS transferred from our investment portfolio to an investment bank in exchange for cash proceeds and at the same time entered into a commitment with the investment bank to purchase to-be-issued securities collateralized by the agency MBS transferred, which resulted in our consolidation of the CMO trusts. | |
Agency MBS transferred to consolidated VIEs are reported on our consolidated balance sheets in agency securities transferred to consolidated VIEs, at fair value and can only be used to settle the obligations of each respective VIE. We elected the option to account for the consolidated debt at fair value, with changes in fair value reflected in earnings during the period in which they occur, because we believe this election more appropriately reflects our financial position as both the consolidated assets and consolidated debt are presented in a consistent manner on our consolidated balance sheets. | |
We estimate the fair value of the consolidated debt based on the fair value of the agency MBS transferred to consolidated VIEs, less the fair value of our retained interests, which are measured on a market approach using "Level 2" inputs from third-party pricing services and dealer quotes. | |
Discontinuation of Election to Account for Interest Rate Swaps as Designated Cash Flow Hedges [Member] | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
Derivative Instruments | Discontinuation of hedge accounting for interest rate swap agreements |
Prior to September 30, 2011, we entered into interest rate swap agreements typically with the intention of qualifying for hedge accounting under ASC 815. However, as of September 30, 2011, we elected to discontinue hedge accounting for our interest rate swaps. Upon discontinuation of hedge accounting, the net deferred loss related to our de-designated interest rate swaps remained in accumulated OCI and is being reclassified from accumulated OCI into interest expense on a straight-line basis over the remaining term of each interest rate swap. |
Investment_Securities_Tables
Investment Securities (Tables) | 12 Months Ended | ||||||||||||||||||||||||
Dec. 31, 2014 | |||||||||||||||||||||||||
Available-for-sale Securities [Abstract] | |||||||||||||||||||||||||
Components of Investment Securities | The following tables summarize our investments in agency MBS as of December 31, 2014 and 2013 (dollars in millions): | ||||||||||||||||||||||||
31-Dec-14 | |||||||||||||||||||||||||
Agency MBS | Amortized | Gross | Gross | Fair Value | |||||||||||||||||||||
Cost | Unrealized | Unrealized | |||||||||||||||||||||||
Gain | Loss | ||||||||||||||||||||||||
Fixed rate | $ | 53,945 | $ | 715 | $ | (187 | ) | $ | 54,473 | ||||||||||||||||
Adjustable rate | 659 | 19 | — | 678 | |||||||||||||||||||||
CMO | 1,172 | 24 | (1 | ) | 1,195 | ||||||||||||||||||||
Interest-only and principal-only strips | 372 | 33 | (3 | ) | 402 | ||||||||||||||||||||
Total agency MBS | $ | 56,148 | $ | 791 | $ | (191 | ) | $ | 56,748 | ||||||||||||||||
December 31, 2013 | |||||||||||||||||||||||||
Agency MBS | Amortized | Gross | Gross | Fair Value | |||||||||||||||||||||
Cost | Unrealized | Unrealized | |||||||||||||||||||||||
Gain | Loss | ||||||||||||||||||||||||
Fixed rate | $ | 64,057 | $ | 242 | $ | (1,338 | ) | $ | 62,961 | ||||||||||||||||
Adjustable rate | 1,223 | 15 | (3 | ) | 1,235 | ||||||||||||||||||||
CMO | 1,313 | 3 | (8 | ) | 1,308 | ||||||||||||||||||||
Interest-only and principal-only strips | 432 | 16 | (11 | ) | 437 | ||||||||||||||||||||
Total agency MBS | $ | 67,025 | $ | 276 | $ | (1,360 | ) | $ | 65,941 | ||||||||||||||||
Agency Securities | |||||||||||||||||||||||||
December 31, 2013 | |||||||||||||||||||||||||
Agency MBS | Fannie Mae | Freddie Mac | Ginnie Mae | Total | |||||||||||||||||||||
Available-for-sale agency MBS: | |||||||||||||||||||||||||
Agency MBS, par | $ | 50,914 | $ | 12,640 | $ | 223 | $ | 63,777 | |||||||||||||||||
Unamortized discount | (25 | ) | (7 | ) | — | (32 | ) | ||||||||||||||||||
Unamortized premium | 2,210 | 631 | 7 | 2,848 | |||||||||||||||||||||
Amortized cost | 53,099 | 13,264 | 230 | 66,593 | |||||||||||||||||||||
Gross unrealized gains | 181 | 74 | 5 | 260 | |||||||||||||||||||||
Gross unrealized losses | (991 | ) | (358 | ) | — | (1,349 | ) | ||||||||||||||||||
Total available-for-sale agency MBS, at fair value | 52,289 | 12,980 | 235 | 65,504 | |||||||||||||||||||||
Agency MBS remeasured at fair value through earnings: | |||||||||||||||||||||||||
Interest-only and principal-only strips, amortized cost 1 | 400 | 32 | — | 432 | |||||||||||||||||||||
Gross unrealized gains | 13 | 3 | — | 16 | |||||||||||||||||||||
Gross unrealized losses | (9 | ) | (2 | ) | — | (11 | ) | ||||||||||||||||||
Total agency MBS remeasured at fair value through earnings | 404 | 33 | — | 437 | |||||||||||||||||||||
Total agency MBS, at fair value | $ | 52,693 | $ | 13,013 | $ | 235 | $ | 65,941 | |||||||||||||||||
Weighted average coupon as of December 31, 2013 2 | 3.53 | % | 3.78 | % | 3.56 | % | 3.58 | % | |||||||||||||||||
Weighted average yield as of December 31, 2013 3 | 2.66 | % | 2.87 | % | 1.66 | % | 2.7 | % | |||||||||||||||||
Weighted average yield for the year ended December 31, 2013 3 | 2.74 | % | 2.87 | % | 1.79 | % | 2.77 | % | |||||||||||||||||
 ________________________ | |||||||||||||||||||||||||
1 | The underlying UPB of our interest-only agency MBS strips was $1.4 billion and the weighted average contractual interest we are entitled to receive was 5.50% of this amount as of December 31, 2013. The par value of our principal-only agency MBS strips was $271 million as of December 31, 2013. | ||||||||||||||||||||||||
2 | The weighted average coupon includes the interest cash flows from our interest-only agency MBS strips taken together with the interest cash flows from our fixed rate, adjustable-rate and CMO agency MBS as a percentage of the par value of our agency MBS (excluding the UPB of our interest-only securities) as of December 31, 2013. | ||||||||||||||||||||||||
3 | Incorporates a weighted average future constant prepayment rate assumption of 7% based on forward rates as of December 31, 2013. | ||||||||||||||||||||||||
31-Dec-14 | |||||||||||||||||||||||||
Agency MBS | Fannie Mae | Freddie Mac | Ginnie Mae | Total | |||||||||||||||||||||
Available-for-sale agency MBS: | |||||||||||||||||||||||||
Agency MBS, par | $ | 42,749 | $ | 10,566 | $ | 107 | $ | 53,422 | |||||||||||||||||
Unamortized discount | (37 | ) | (5 | ) | — | (42 | ) | ||||||||||||||||||
Unamortized premium | 1,880 | 514 | 2 | 2,396 | |||||||||||||||||||||
Amortized cost | 44,592 | 11,075 | 109 | 55,776 | |||||||||||||||||||||
Gross unrealized gains | 610 | 145 | 3 | 758 | |||||||||||||||||||||
Gross unrealized losses | (127 | ) | (61 | ) | — | (188 | ) | ||||||||||||||||||
Total available-for-sale agency MBS, at fair value | 45,075 | 11,159 | 112 | 56,346 | |||||||||||||||||||||
Agency MBS remeasured at fair value through earnings: | |||||||||||||||||||||||||
Interest-only and principal-only strips, amortized cost 1 | 348 | 24 | — | 372 | |||||||||||||||||||||
Gross unrealized gains | 30 | 3 | — | 33 | |||||||||||||||||||||
Gross unrealized losses | (2 | ) | (1 | ) | — | (3 | ) | ||||||||||||||||||
Total agency MBS remeasured at fair value through earnings | 376 | 26 | — | 402 | |||||||||||||||||||||
Total agency MBS, at fair value | $ | 45,451 | $ | 11,185 | $ | 112 | $ | 56,748 | |||||||||||||||||
Weighted average coupon as of December 31, 2014 2 | 3.63 | % | 3.7 | % | 3.52 | % | 3.65 | % | |||||||||||||||||
Weighted average yield as of December 31, 2014 3 | 2.75 | % | 2.73 | % | 1.87 | % | 2.74 | % | |||||||||||||||||
Weighted average yield for the year ended December 31, 2014 3 | 2.62 | % | 2.64 | % | 1.66 | % | 2.63 | % | |||||||||||||||||
 ________________________ | |||||||||||||||||||||||||
1 | The underlying unamortized principal balance ("UPB" or "par value") of our interest-only agency MBS strips was $1.2 billion and the weighted average contractual interest we are entitled to receive was 5.46% of this amount as of December 31, 2014. The par value of our principal-only agency MBS strips was $242 million as of December 31, 2014. | ||||||||||||||||||||||||
2 | The weighted average coupon includes the interest cash flows from our interest-only agency MBS strips taken together with the interest cash flows from our fixed rate, adjustable-rate and CMO agency MBS as a percentage of the par value of our agency MBS (excluding the UPB of our interest-only securities) as of December 31, 2014. | ||||||||||||||||||||||||
3 | Incorporates a weighted average future constant prepayment rate assumption of 9% based on forward rates as of December 31, 2014. | ||||||||||||||||||||||||
Summary Of Agency Securities Estimated Weighted Average Life Classifications | The following table summarizes our agency MBS classified as available-for-sale as of December 31, 2014 and 2013 according to their estimated weighted average life classification (dollars in millions): | ||||||||||||||||||||||||
31-Dec-14 | December 31, 2013 | ||||||||||||||||||||||||
Estimated Weighted Average Life of Agency MBS Classified as Available-for-Sale 1 | Fair Value | Amortized | Weighted | Weighted | Fair Value | Amortized | Weighted | Weighted | |||||||||||||||||
Cost | Average | Average | Cost | Average | Average | ||||||||||||||||||||
Coupon | Yield | Coupon | Yield | ||||||||||||||||||||||
≤ 1 year | $ | — | $ | — | —% | —% | $ | 129 | $ | 129 | 3.07% | 2.53% | |||||||||||||
> 1 year and ≤ 3 years | 289 | 280 | 4.08% | 2.62% | 498 | 491 | 4.08% | 2.25% | |||||||||||||||||
> 3 years and ≤ 5 years | 22,153 | 21,820 | 3.26% | 2.40% | 24,471 | 24,342 | 3.59% | 2.57% | |||||||||||||||||
> 5 years and ≤10 years | 33,271 | 33,055 | 3.73% | 2.92% | 38,522 | 39,635 | 3.39% | 2.73% | |||||||||||||||||
> 10 years | 633 | 621 | 3.28% | 3.15% | 1,884 | 1,996 | 3.66% | 2.96% | |||||||||||||||||
Total | $ | 56,346 | $ | 55,776 | 3.54% | 2.72% | $ | 65,504 | $ | 66,593 | 3.47% | 2.68% | |||||||||||||
 _______________________ | |||||||||||||||||||||||||
1 | Excludes interest and principal-only strips. | ||||||||||||||||||||||||
Summary of Changes in Accumulated OCI for Agency Securitie | The following table summarizes changes in accumulated OCI, a separate component of stockholders' equity, for our available-for-sale securities for fiscal years 2014, 2013 and 2012 (in millions):Â | ||||||||||||||||||||||||
Agency Securities Classified as | Beginning Accumulated OCI | Unrealized | Reversal of | Ending | |||||||||||||||||||||
Available-for-Sale | Balance | Gains and (Losses), Net | Unrealized | Accumulated | |||||||||||||||||||||
(Gains) and Losses, | OCI | ||||||||||||||||||||||||
Net on Realization | Balance | ||||||||||||||||||||||||
Fiscal year 2014 | $ | (1,087 | ) | 1,708 | (51 | ) | $ | 570 | |||||||||||||||||
Fiscal year 2013 | $ | 2,040 | (4,535 | ) | 1,408 | $ | (1,087 | ) | |||||||||||||||||
Fiscal year 2012 | $ | 1,001 | 2,235 | (1,196 | ) | $ | 2,040 | ||||||||||||||||||
Summary of Continuous Unrealized Loss Position of Available for Sale Securities | The following table presents the gross unrealized loss and fair values of our available-for-sale agency securities by length of time that such securities have been in a continuous unrealized loss position as of December 31, 2014 and 2013 (in millions): | ||||||||||||||||||||||||
Unrealized Loss Position For | |||||||||||||||||||||||||
Less than 12 Months | 12 Months or More | Total | |||||||||||||||||||||||
Agency Securities Classified as | Estimated Fair | Unrealized | Estimated | Unrealized | Estimated Fair | Unrealized | |||||||||||||||||||
Available-for-Sale | Value | Loss | Fair Value | Loss | Value | Loss | |||||||||||||||||||
December 31, 2014 | $ | 778 | $ | (2 | ) | $ | 11,679 | $ | (186 | ) | $ | 12,457 | $ | (188 | ) | ||||||||||
December 31, 2013 | $ | 42,853 | $ | (1,248 | ) | $ | 1,586 | $ | (101 | ) | $ | 44,439 | $ | (1,349 | ) | ||||||||||
Summary of Net Gain from Sale of Agency Securities | The following table is a summary of our net gain (loss) from the sale of agency securities classified as available-for-sale for fiscal years 2014, 2013 and 2012 (in millions):Â | ||||||||||||||||||||||||
Fiscal Year | |||||||||||||||||||||||||
Agency Securities Classified as | 2014 | 2013 | 2012 | ||||||||||||||||||||||
Available-for-Sale | |||||||||||||||||||||||||
Agency MBS sold, at cost | $ | (30,123 | ) | $ | (81,516 | ) | $ | (63,610 | ) | ||||||||||||||||
Proceeds from agency MBS sold 1 | 30,174 | 80,108 | 64,806 | ||||||||||||||||||||||
Net gain (loss) on sale of agency MBS | $ | 51 | $ | (1,408 | ) | $ | 1,196 | ||||||||||||||||||
Gross gain on sale of agency MBS | $ | 172 | $ | 217 | $ | 1,209 | |||||||||||||||||||
Gross loss on sale of agency MBS | (121 | ) | (1,625 | ) | (13 | ) | |||||||||||||||||||
Net gain (loss) on sale of agency MBS | $ | 51 | $ | (1,408 | ) | $ | 1,196 | ||||||||||||||||||
  ________________________ | |||||||||||||||||||||||||
1 | Proceeds include cash received during the period, plus receivable for agency MBS sold during the period as of period end. | ||||||||||||||||||||||||
Recovered_Sheet1
Repurchase Agreements and Other Debt (Tables) | 12 Months Ended | ||||||||||||||||||||
Dec. 31, 2014 | |||||||||||||||||||||
Disclosure of Repurchase Agreements [Abstract] | |||||||||||||||||||||
Schedule of Borrowings under Repurchase Agreements and Weighted Average Interest Rates | The following table summarizes our borrowings under repurchase arrangements and weighted average interest rates classified by remaining maturities as of December 31, 2014 and 2013 (dollars in millions): | ||||||||||||||||||||
31-Dec-14 | December 31, 2013 | ||||||||||||||||||||
Remaining Maturity | Repurchase Agreements | Weighted | Weighted | Repurchase Agreements | Weighted | Weighted | |||||||||||||||
Average | Average Days | Average | Average Days | ||||||||||||||||||
Interest | to Maturity | Interest | to Maturity | ||||||||||||||||||
Rate | Rate | ||||||||||||||||||||
Agency MBS: | |||||||||||||||||||||
≤ 1 month | $ | 14,157 | 0.37 | % | 15 | $ | 23,577 | 0.42 | % | 15 | |||||||||||
> 1 to ≤ 3 months | 20,223 | 0.38 | % | 61 | 20,490 | 0.43 | % | 61 | |||||||||||||
> 3 to ≤ 6 months | 6,654 | 0.42 | % | 120 | 6,946 | 0.45 | % | 140 | |||||||||||||
> 6 to ≤ 9 months | 1,575 | 0.5 | % | 225 | 2,232 | 0.53 | % | 230 | |||||||||||||
> 9 to ≤ 12 months | 2,678 | 0.54 | % | 313 | 3,607 | 0.54 | % | 323 | |||||||||||||
> 12 to ≤ 24 months | 600 | 0.57 | % | 551 | 3,261 | 0.6 | % | 603 | |||||||||||||
> 24 to ≤ 36 months | 952 | 0.6 | % | 999 | 500 | 0.62 | % | 930 | |||||||||||||
> 36 to ≤ 48 months | 650 | 0.64 | % | 1,266 | 202 | 0.71 | % | 1,257 | |||||||||||||
> 48 to < 60 months | 900 | 0.68 | % | 1,542 | 400 | 0.66 | % | 1,574 | |||||||||||||
Total agency MBS | 48,389 | 0.41 | % | 143 | 61,215 | 0.45 | % | 124 | |||||||||||||
U.S. Treasury securities: | |||||||||||||||||||||
1 day | 1,907 | 0.09 | % | 1 | 2,318 | 0.02 | % | 1 | |||||||||||||
Total / Weighted Average | $ | 50,296 | 0.4 | % | 138 | $ | 63,533 | 0.44 | % | 119 | |||||||||||
Derivative_and_Other_Hedging_I1
Derivative and Other Hedging Instruments (Tables) | 12 Months Ended | ||||||||||||||||||||||||||||||||
Dec. 31, 2014 | |||||||||||||||||||||||||||||||||
Derivative [Line Items] | |||||||||||||||||||||||||||||||||
Schedule of Outstanding Derivatives Not Designated as Hedging Instruments | The table below summarizes fair value information about our derivative assets and liabilities as of December 31, 2014 and 2013 (in millions): | ||||||||||||||||||||||||||||||||
Derivative and Other Hedging Instruments | Balance Sheet Location | December 31, 2014 | December 31, 2013 | ||||||||||||||||||||||||||||||
Interest rate swaps | Derivative assets, at fair value | $ | 136 | $ | 880 | ||||||||||||||||||||||||||||
Swaptions | Derivative assets, at fair value | 75 | 258 | ||||||||||||||||||||||||||||||
TBA securities | Derivative assets, at fair value | 197 | 17 | ||||||||||||||||||||||||||||||
U.S. Treasury futures - short | Derivative assets, at fair value | — | 39 | ||||||||||||||||||||||||||||||
Total | $ | 408 | $ | 1,194 | |||||||||||||||||||||||||||||
Interest rate swaps | Derivative liabilities, at fair value | $ | (880 | ) | $ | (400 | ) | ||||||||||||||||||||||||||
TBA securities | Derivative liabilities, at fair value | (5 | ) | (22 | ) | ||||||||||||||||||||||||||||
U.S. Treasury futures - short | Derivative liabilities, at fair value | (5 | ) | — | |||||||||||||||||||||||||||||
Total | $ | (890 | ) | $ | (422 | ) | |||||||||||||||||||||||||||
U.S. Treasury securities - long | U.S. Treasury securities, at fair value | $ | 2,427 | $ | 3,822 | ||||||||||||||||||||||||||||
U.S. Treasury securities - short | Obligation to return securities borrowed under reverse repurchase agreements, at fair value 1 | (5,363 | ) | (1,848 | ) | ||||||||||||||||||||||||||||
Total - (short)/long, net | $ | (2,936 | ) | $ | 1,974 | ||||||||||||||||||||||||||||
 ________________________ | |||||||||||||||||||||||||||||||||
1 | Our obligation to return securities borrowed under reverse repurchase agreements as of December 31, 2014 and 2013 relates to securities borrowed to cover short sales of U.S. Treasury securities from which we received total sale proceeds of $5.4 billion and $1.9 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 tables summarize our interest rate swaption agreements outstanding as of December 31, 2014 and 2013 (dollars in millions): | ||||||||||||||||||||||||||||||||
December 31, 2014 | |||||||||||||||||||||||||||||||||
Option | Underlying Payer Swap | ||||||||||||||||||||||||||||||||
Years to Expiration | Cost | Fair | Average | Notional | Average Fixed Pay | Average | Average | ||||||||||||||||||||||||||
Value | Months to | Amount | Rate | Receive | Term | ||||||||||||||||||||||||||||
Expiration | Rate | (Years) | |||||||||||||||||||||||||||||||
(LIBOR) | |||||||||||||||||||||||||||||||||
Payer Swaptions: | |||||||||||||||||||||||||||||||||
≤ 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 | |||||||||||||||||||||||
December 31, 2014 | |||||||||||||||||||||||||||||||||
Option | Underlying Receiver Swap | ||||||||||||||||||||||||||||||||
Years to Expiration | Cost | Fair | Average | Notional | Average Fixed Receive | Average | Average | ||||||||||||||||||||||||||
Value | Months to | Amount | Rate | Â Pay | Term | ||||||||||||||||||||||||||||
Expiration | Rate | (Years) | |||||||||||||||||||||||||||||||
(LIBOR) | |||||||||||||||||||||||||||||||||
Receiver Swaptions: | |||||||||||||||||||||||||||||||||
≤ 1 year | $ | 18 | $ | 29 | 5 | $ | 4,250 | 1.78% | 3M | 6.4 | |||||||||||||||||||||||
December 31, 2013 | |||||||||||||||||||||||||||||||||
Option | Underlying Payer Swap | ||||||||||||||||||||||||||||||||
Years to Expiration | Cost | Fair | Average | Notional | Average Fixed Pay | Average | Average | ||||||||||||||||||||||||||
Value | Months to | Amount | Rate | Receive | Term | ||||||||||||||||||||||||||||
Expiration | Rate | (Years) | |||||||||||||||||||||||||||||||
(LIBOR) | |||||||||||||||||||||||||||||||||
Payer Swaptions: | |||||||||||||||||||||||||||||||||
≤ 1 year | $ | 193 | $ | 117 | 4 | $ | 9,400 | 2.87% | 3M | 7.8 | |||||||||||||||||||||||
> 1 to ≤ 2 years | 105 | 92 | 19 | 3,600 | 3.40% | 3M | 5.6 | ||||||||||||||||||||||||||
> 2 to ≤ 3 years | 35 | 45 | 30 | 1,150 | 3.81% | 3M | 5.8 | ||||||||||||||||||||||||||
> 3 to ≤ 5 years | 2 | 4 | 52 | 100 | 4.80% | 3M | 7 | ||||||||||||||||||||||||||
Total Payer Swaptions | $ | 335 | $ | 258 | 10 | $ | 14,250 | 3.09% | 3M | 7 | |||||||||||||||||||||||
US government securities | The following table summarizes our U.S. Treasury securities as of December 31, 2014 and 2013 (in millions): | ||||||||||||||||||||||||||||||||
31-Dec-14 | 31-Dec-13 | ||||||||||||||||||||||||||||||||
Maturity | Face Amount Net Long / (Short) | Cost Basis | Market Value | Face Amount Net Long / (Short) | Cost Basis | Market Value | |||||||||||||||||||||||||||
5 years | $ | (4,674 | ) | $ | (4,650 | ) | $ | (4,645 | ) | $ | 1,225 | $ | 1,211 | $ | 1,201 | ||||||||||||||||||
7 years | (717 | ) | (717 | ) | (718 | ) | 60 | 57 | 56 | ||||||||||||||||||||||||
10 years | 2,410 | 2,422 | 2,427 | 635 | 717 | 717 | |||||||||||||||||||||||||||
Total U.S. Treasury securities | $ | (2,981 | ) | $ | (2,945 | ) | $ | (2,936 | ) | $ | 1,920 | $ | 1,985 | $ | 1,974 | ||||||||||||||||||
Summary of Long and Short Position of Derivative Instruments | The following table summarizes our contracts to purchase and sell TBA contracts as of December 31, 2014 and 2013 (in millions): | ||||||||||||||||||||||||||||||||
31-Dec-14 | December 31, 2013 | ||||||||||||||||||||||||||||||||
Purchase and Sale Contracts for TBAs | Notional | Cost Basis 2 | Market Value 3 | Net Carrying Value 4 | Notional | Cost Basis 2 | Market Value 3 | Net Carrying Value 4 | |||||||||||||||||||||||||
Amount 1 | Amount 1 | ||||||||||||||||||||||||||||||||
TBA securities: | |||||||||||||||||||||||||||||||||
Purchase contracts | $ | 17,388 | $ | 17,769 | $ | 17,916 | $ | 147 | $ | 6,660 | $ | 6,882 | $ | 6,864 | $ | (18 | ) | ||||||||||||||||
Sale contracts | (2,976 | ) | (3,193 | ) | (3,148 | ) | 45 | (4,541 | ) | (4,606 | ) | (4,593 | ) | 13 | |||||||||||||||||||
TBA securities, net 5 | $ | 14,412 | $ | 14,576 | $ | 14,768 | $ | 192 | $ | 2,119 | $ | 2,276 | $ | 2,271 | $ | (5 | ) | ||||||||||||||||
  ________________________ | |||||||||||||||||||||||||||||||||
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. | ||||||||||||||||||||||||||||||||
5 | Includes 15-year and 30-year TBA securities of varying coupons | ||||||||||||||||||||||||||||||||
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 fiscal years 2014, 2013 and 2012 (in millions): | ||||||||||||||||||||||||||||||||
Fiscal year 2014 | |||||||||||||||||||||||||||||||||
Derivative and Other Hedging Instruments | Notional Amount | Additions | Settlement, Termination, | Notional Amount | Amount of | ||||||||||||||||||||||||||||
Long/(Short) | Expiration or | Long/(Short) December 31, 2014 | Gain/(Loss) | ||||||||||||||||||||||||||||||
31-Dec-13 | Exercise | Recognized in | |||||||||||||||||||||||||||||||
Income on | |||||||||||||||||||||||||||||||||
Derivatives 1 | |||||||||||||||||||||||||||||||||
Net TBA securities | $ | 2,119 | 213,627 | (201,334 | ) | $ | 14,412 | $ | 1,117 | ||||||||||||||||||||||||
Interest rate swaps | $ | (43,250 | ) | (20,550 | ) | 20,100 | $ | (43,700 | ) | (1,838 | ) | ||||||||||||||||||||||
Payer swaptions | $ | (14,250 | ) | (5,250 | ) | 12,700 | $ | (6,800 | ) | (193 | ) | ||||||||||||||||||||||
Receiver swaptions | $ | — | 5,500 | (1,250 | ) | $ | 4,250 | 11 | |||||||||||||||||||||||||
U.S. Treasury securities - short position | $ | (2,007 | ) | (36,489 | ) | 33,104 | $ | (5,392 | ) | (420 | ) | ||||||||||||||||||||||
U.S. Treasury securities - long position | $ | 3,927 | 18,549 | (20,065 | ) | $ | 2,411 | 66 | |||||||||||||||||||||||||
U.S. Treasury futures contracts - short position | $ | (1,730 | ) | (2,920 | ) | 3,920 | $ | (730 | ) | (76 | ) | ||||||||||||||||||||||
TBA put option | $ | — | (150 | ) | 150 | $ | — | — | |||||||||||||||||||||||||
$ | (1,333 | ) | |||||||||||||||||||||||||||||||
  ________________________________ | |||||||||||||||||||||||||||||||||
1 | Excludes a net gain of $75 million from investments in REIT equity securities, a net loss of $10 million from debt of consolidated VIEs, a net gain of $32 million from interest and principal-only securities and other miscellaneous net losses of $7 million recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. | ||||||||||||||||||||||||||||||||
Fiscal year 2013 | |||||||||||||||||||||||||||||||||
Derivative and Other Hedging Instruments | Notional Amount | Additions | Settlement, Termination, | Notional Amount | Amount of | ||||||||||||||||||||||||||||
Long/(Short) | Expiration or |  Long/(Short) December 31, 2013 | Gain/(Loss) | ||||||||||||||||||||||||||||||
31-Dec-12 | Exercise | Recognized in | |||||||||||||||||||||||||||||||
Income on | |||||||||||||||||||||||||||||||||
Derivatives 1 | |||||||||||||||||||||||||||||||||
Net TBA and forward settling agency securities | $ | 12,477 | 42,707 | (53,065 | ) | $ | 2,119 | $ | (726 | ) | |||||||||||||||||||||||
Interest rate swaps | $ | (46,850 | ) | (20,750 | ) | 24,350 | $ | (43,250 | ) | 1,145 | |||||||||||||||||||||||
Payer swaptions | $ | (14,450 | ) | (23,800 | ) | 24,000 | $ | (14,250 | ) | 258 | |||||||||||||||||||||||
U.S. Treasury securities - short position | $ | (11,835 | ) | (31,941 | ) | 41,769 | $ | (2,007 | ) | 472 | |||||||||||||||||||||||
U.S. Treasury securities - long position | $ | — | 27,805 | (23,878 | ) | $ | 3,927 | (42 | ) | ||||||||||||||||||||||||
U.S. Treasury futures contracts - short position | $ | — | (9,239 | ) | 7,509 | $ | (1,730 | ) | 49 | ||||||||||||||||||||||||
TBA put option | $ | — | (50 | ) | 50 | $ | — | — | |||||||||||||||||||||||||
$ | 1,156 | ||||||||||||||||||||||||||||||||
  ______________________ | |||||||||||||||||||||||||||||||||
1 | Excludes a net gain of $2 million from investments in REIT equity securities, a net gain of $39 million from debt of consolidated VIEs and other miscellaneous net losses of $6 million recognized in gain (loss) on derivative instruments and other securities, net in our consolidated statements of comprehensive income. | ||||||||||||||||||||||||||||||||
Fiscal year 2012 | |||||||||||||||||||||||||||||||||
Derivative and Other Hedging Instruments | Notional Amount | Additions | Settlement, Termination, | Notional Amount | Amount of | ||||||||||||||||||||||||||||
Long/(Short) | Expiration or |  Long/(Short) December 31, 2012 | Gain/(Loss) | ||||||||||||||||||||||||||||||
31-Dec-11 | Exercise | Recognized in | |||||||||||||||||||||||||||||||
Income on | |||||||||||||||||||||||||||||||||
Derivatives 1 | |||||||||||||||||||||||||||||||||
Net TBA and forward settling agency securities | $ | (104 | ) | (36,174 | ) | 48,755 | $ | 12,477 | $ | 31 | |||||||||||||||||||||||
Interest rate swaps | $ | (30,250 | ) | (25,000 | ) | 8,400 | $ | (46,850 | ) | (1,034 | ) | ||||||||||||||||||||||
Payer swaptions | $ | (3,200 | ) | (18,250 | ) | 7,000 | $ | (14,450 | ) | (106 | ) | ||||||||||||||||||||||
U.S. Treasury securities - short position | $ | (880 | ) | (36,555 | ) | 25,600 | $ | (11,835 | ) | (142 | ) | ||||||||||||||||||||||
U.S. Treasury securities - long position | $ | 100 | 2,445 | (2,545 | ) | $ | — | (1 | ) | ||||||||||||||||||||||||
U.S. Treasury futures contracts - short position | $ | (783 | ) | (3,838 | ) | 4,621 | $ | — | (90 | ) | |||||||||||||||||||||||
Markit IOS total return swaps, net | $ | (165 | ) | — | 165 | $ | — | — | |||||||||||||||||||||||||
$ | (1,342 | ) | |||||||||||||||||||||||||||||||
  ______________________ | |||||||||||||||||||||||||||||||||
1 | Excludes a net gain of $17 million from interest and principal-only securities, a net loss of $28 million from debt of consolidated VIEs 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 December 31, 2014 and 2013 (dollars in millions): | ||||||||||||||||||||||||||||||||
31-Dec-14 | |||||||||||||||||||||||||||||||||
Payer Interest Rate Swaps | Notional | Average | Average | Net | Average | ||||||||||||||||||||||||||||
Amount 1 | Fixed | Receive | Estimated | Maturity | |||||||||||||||||||||||||||||
Pay Rate 2 | Rate 3 | Fair Value | (Years) 4 | ||||||||||||||||||||||||||||||
≤ 3 years | $ | 12,300 | 1.33% | 0.21% | $ | (87 | ) | 2 | |||||||||||||||||||||||||
> 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. | ||||||||||||||||||||||||||||||||
December 31, 2013 | |||||||||||||||||||||||||||||||||
Payer Interest Rate Swaps | Notional | Average | Average | Net | Average | ||||||||||||||||||||||||||||
Amount 1 | Fixed | Receive | Estimated | Maturity | |||||||||||||||||||||||||||||
Pay Rate 2 | Rate 3 | Fair Value | (Years) 4 | ||||||||||||||||||||||||||||||
≤ 3 years | $ | 16,750 | 1.57% | 0.19% | $ | (382 | ) | 1.6 | |||||||||||||||||||||||||
> 3 to ≤ 5 years | 10,225 | 1.07% | 0.24% | 81 | 3.9 | ||||||||||||||||||||||||||||
> 5 to ≤ 7 years | 5,700 | 1.97% | 0.26% | 113 | 6 | ||||||||||||||||||||||||||||
> 7 to ≤ 10 years | 8,825 | 2.28% | 0.24% | 499 | 8.8 | ||||||||||||||||||||||||||||
> 10 years | 1,750 | 2.79% | 0.24% | 169 | 14.7 | ||||||||||||||||||||||||||||
Total Payer Interest Rate Swaps | $ | 43,250 | 1.70% | 0.22% | $ | 480 | 4.7 | ||||||||||||||||||||||||||
   ________________________ | |||||||||||||||||||||||||||||||||
1 | Notional amount includes forward starting swaps of $4.0 billion with an average forward start date of 1.9 years from December 31, 2013. | ||||||||||||||||||||||||||||||||
2 | Average fixed pay rate includes forward starting swaps. Excluding forward starting swaps, the average fixed pay rate was 1.57% as of December 31, 2013. | ||||||||||||||||||||||||||||||||
3 | Average receive rate excludes forward starting swaps. | ||||||||||||||||||||||||||||||||
4 | Average maturity measured from December 31, 2013 through stated maturity date. |
Pledged_Assets_Tables
Pledged Assets (Tables) | 12 Months Ended | ||||||||||||||||||||||||
Dec. 31, 2014 | |||||||||||||||||||||||||
Offsetting Assets and Liabilities [Abstract] | |||||||||||||||||||||||||
Schedule of Financial Instruments Owned and Pledged as Collateral | The following tables summarize our assets pledged as collateral under our repurchase agreements, debt of consolidated VIEs, derivative agreements and prime broker agreements by type, including securities pledged related to securities sold but not yet settled, as of December 31, 2014 and 2013 (in millions): | ||||||||||||||||||||||||
December 31, 2014 | |||||||||||||||||||||||||
Assets Pledged to Counterparties | Repurchase Agreements | Debt of Consolidated VIEs | Derivative Agreements | Prime Broker Agreements | Total | ||||||||||||||||||||
Agency MBS - fair value | $ | 50,858 | $ | 1,266 | $ | 69 | $ | 702 | $ | 52,895 | |||||||||||||||
U.S. Treasury securities - fair value | 1,904 | — | 550 | — | 2,454 | ||||||||||||||||||||
Accrued interest on pledged securities | 147 | 4 | 2 | — | 153 | ||||||||||||||||||||
Restricted cash | 6 | — | 698 | 9 | 713 | ||||||||||||||||||||
Total | $ | 52,915 | $ | 1,270 | $ | 1,319 | $ | 711 | $ | 56,215 | |||||||||||||||
December 31, 2013 | |||||||||||||||||||||||||
Assets Pledged to Counterparties | Repurchase Agreements | Debt of Consolidated VIEs | Derivative Agreements | Prime Broker Agreements | Total | ||||||||||||||||||||
Agency MBS - fair value | $ | 62,708 | $ | 1,459 | $ | 28 | $ | 91 | $ | 64,286 | |||||||||||||||
U.S. Treasury securities - fair value | 3,708 | — | 70 | — | 3,778 | ||||||||||||||||||||
Accrued interest on pledged securities | 189 | 5 | 1 | — | 195 | ||||||||||||||||||||
Restricted cash | 3 | — | 41 | 57 | 101 | ||||||||||||||||||||
Total | $ | 66,608 | $ | 1,464 | $ | 140 | $ | 148 | $ | 68,360 | |||||||||||||||
Schedules Of Securities Pledged As Collateral Under Repurchase Agreement | The following table summarizes our securities pledged as collateral under repurchase agreements and other debt of consolidated VIEs by remaining maturity of the repurchase agreement and other debt liability, including securities pledged related to sold but not yet settled securities, as of December 31, 2014 and 2013 (in millions). For the corresponding repurchase agreement and other debt liability associated with the following amounts and the interest rates thereon, refer to Note 4. | ||||||||||||||||||||||||
December 31, 2014 | December 31, 2013 | ||||||||||||||||||||||||
Agency Securities Pledged by Remaining Maturity of Repurchase Agreements and Debt of Consolidated VIEs | Fair Value of Pledged Securities | Amortized | Accrued | Fair Value of Pledged Securities | Amortized | Accrued | |||||||||||||||||||
Cost of Pledged Securities | Interest on | Cost of Pledged Securities | Interest on | ||||||||||||||||||||||
Pledged | Pledged | ||||||||||||||||||||||||
Securities | Securities | ||||||||||||||||||||||||
Agency MBS: | |||||||||||||||||||||||||
  ≤ 30 days | $ | 14,605 | $ | 14,453 | $ | 41 | $ | 27,694 | $ | 28,125 | $ | 76 | |||||||||||||
  > 30 and ≤ 60 days | 10,912 | 10,789 | 30 | 14,955 | 15,210 | 42 | |||||||||||||||||||
  > 60 and ≤ 90 days | 10,205 | 10,109 | 28 | 10,117 | 10,290 | 28 | |||||||||||||||||||
  > 90 days | 16,402 | 16,227 | 47 | 11,401 | 11,623 | 32 | |||||||||||||||||||
Total agency MBS | 52,124 | 51,578 | 146 | 64,167 | 65,248 | 178 | |||||||||||||||||||
U.S. Treasury securities: | |||||||||||||||||||||||||
   1 day | 1,904 | 1,899 | 5 | 3,708 | 3,760 | 16 | |||||||||||||||||||
Total | $ | 54,028 | $ | 53,477 | $ | 151 | $ | 67,875 | $ | 69,008 | $ | 194 | |||||||||||||
Schedule of Securities and Cash Pledged as Collateral from Counterparties | As of December 31, 2014 and 2013, we had assets pledged to us from counterparties as collateral under our reverse repurchase and derivative agreements summarized in the tables below (in millions). | ||||||||||||||||||||||||
December 31, 2014 | December 31, 2013 | ||||||||||||||||||||||||
Assets Pledged to AGNC | Reverse Repurchase Agreements | Derivative Agreements | Total | Reverse Repurchase Agreements | Derivative Agreements | Total | |||||||||||||||||||
Agency MBS - fair value | $ | — | $ | 43 | $ | 43 | $ | — | $ | 82 | $ | 82 | |||||||||||||
U.S. Treasury securities - fair value | 5,363 | 47 | 5,410 | 1,848 | 164 | 2,012 | |||||||||||||||||||
Cash | — | 28 | 28 | — | 366 | 366 | |||||||||||||||||||
Total | $ | 5,363 | $ | 118 | $ | 5,481 | $ | 1,848 | $ | 612 | $ | 2,460 | |||||||||||||
Offsetting Assets and Liabilities | The following tables present information about our assets and liabilities that are subject to such arrangements and can potentially be offset on our consolidated balance sheets as of December 31, 2014 and 2013 (in millions): | ||||||||||||||||||||||||
Offsetting of Financial Assets and Derivative Assets | |||||||||||||||||||||||||
Gross Amounts of Recognized Assets | Gross Amounts Offset in the Consolidated Balance Sheets | Net Amounts of Assets Presented in the Consolidated Balance Sheets | Gross Amounts Not Offset | Net Amount | |||||||||||||||||||||
 in the | |||||||||||||||||||||||||
Consolidated Balance Sheets | |||||||||||||||||||||||||
Financial Instruments | Collateral Received 2 | ||||||||||||||||||||||||
31-Dec-14 | |||||||||||||||||||||||||
Interest rate swap and swaption agreements, at fair value 1 | $ | 211 | $ | — | $ | 211 | $ | (94 | ) | $ | (83 | ) | $ | 34 | |||||||||||
Receivable under reverse repurchase agreements | 5,218 | — | 5,218 | (4,690 | ) | (528 | ) | — | |||||||||||||||||
Total derivative, other hedging instruments and other assets | $ | 5,429 | $ | — | $ | 5,429 | $ | (4,784 | ) | $ | (611 | ) | $ | 34 | |||||||||||
31-Dec-13 | |||||||||||||||||||||||||
Interest rate swap and swaption agreements, at fair value 1 | $ | 1,138 | $ | — | $ | 1,138 | $ | (331 | ) | $ | (610 | ) | $ | 197 | |||||||||||
Receivable under reverse repurchase agreements | 1,881 | — | 1,881 | (1,881 | ) | — | — | ||||||||||||||||||
Total derivative, other hedging instruments and other assets | $ | 3,019 | $ | — | $ | 3,019 | $ | (2,212 | ) | $ | (610 | ) | $ | 197 | |||||||||||
Offsetting Liabilities | |||||||||||||||||||||||||
Offsetting of Financial Liabilities and Derivative Liabilities | |||||||||||||||||||||||||
Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Consolidated Balance Sheets | Net Amounts of Liabilities Presented in the Consolidated Balance Sheets | Gross Amounts Not Offset | Net Amount | |||||||||||||||||||||
 in the | |||||||||||||||||||||||||
Consolidated Balance Sheets | |||||||||||||||||||||||||
Financial Instruments | Collateral Pledged 2 | ||||||||||||||||||||||||
31-Dec-14 | |||||||||||||||||||||||||
Interest rate swap agreements, at fair value 1 | $ | 880 | $ | — | $ | 880 | $ | (94 | ) | $ | (782 | ) | $ | 4 | |||||||||||
Repurchase agreements | 50,296 | — | 50,296 | (4,690 | ) | (45,606 | ) | — | |||||||||||||||||
Total derivative, other hedging instruments and other liabilities | $ | 51,176 | $ | — | $ | 51,176 | $ | (4,784 | ) | $ | (46,388 | ) | $ | 4 | |||||||||||
31-Dec-13 | |||||||||||||||||||||||||
Interest rate swap agreements, at fair value 1 | $ | 400 | $ | — | $ | 400 | $ | (331 | ) | $ | (69 | ) | $ | — | |||||||||||
Repurchase agreements | 63,533 | — | 63,533 | (1,881 | ) | (61,652 | ) | — | |||||||||||||||||
Total derivative, other hedging instruments and other liabilities | $ | 63,933 | $ | — | $ | 63,933 | $ | (2,212 | ) | $ | (61,721 | ) | $ | — | |||||||||||
_______________________ | |||||||||||||||||||||||||
1 | Reported under derivative assets / liabilities, at fair value in the accompanying consolidated balance sheets. Refer to Note 5 for a reconciliation of derivative assets / liabilities, at fair value to their sub-components. | ||||||||||||||||||||||||
2 | Includes cash and securities received / pledged as collateral, at fair value. Amounts presented are limited to collateral pledged sufficient to reduce the net amount to zero for individual counterparties, as applicable. |
Fair_Value_Measurements_Tables
Fair Value Measurements (Tables) | 12 Months Ended | |||||||||||
Dec. 31, 2014 | ||||||||||||
Fair Value, Assets, Liabilities and Stockholders' Equity Measured on Recurring Basis [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 December 31, 2014 and 2013 (dollars in millions): | |||||||||||
Fair Value Hierarchy | ||||||||||||
Level 1 | Level 2 | Level 3 | ||||||||||
December 31, 2014 | ||||||||||||
Assets: | ||||||||||||
Agency securities | $ | — | $ | 55,482 | $ | — | ||||||
Agency securities transferred to consolidated VIEs | — | 1,266 | — | |||||||||
U.S. Treasury securities | 2,427 | — | — | |||||||||
Interest rate swaps | — | 136 | — | |||||||||
Swaptions | — | 75 | — | |||||||||
REIT equity securities | 68 | — | ||||||||||
TBA securities | — | 197 | — | |||||||||
Total | $ | 2,495 | $ | 57,156 | $ | — | ||||||
Liabilities: | ||||||||||||
Debt of consolidated VIEs | $ | — | $ | 761 | $ | — | ||||||
Obligation to return U.S. Treasury securities borrowed under reverse repurchase agreements | 5,363 | — | — | |||||||||
Interest rate swaps | — | 880 | — | |||||||||
U.S. Treasury futures | 5 | — | — | |||||||||
TBA securities | — | 5 | — | |||||||||
Total | $ | 5,368 | $ | 1,646 | $ | — | ||||||
December 31, 2013 | ||||||||||||
Assets: | ||||||||||||
Agency securities | $ | — | $ | 64,482 | $ | — | ||||||
Agency securities transferred to consolidated VIEs | — | 1,459 | — | |||||||||
U.S. Treasury securities | 3,822 | — | — | |||||||||
Interest rate swaps | — | 880 | — | |||||||||
Swaptions | — | 258 | — | |||||||||
REIT equity securities | 237 | — | — | |||||||||
U.S. Treasury futures | 39 | — | — | |||||||||
TBA securities | — | 17 | — | |||||||||
Total | $ | 4,098 | $ | 67,096 | $ | — | ||||||
Liabilities: | ||||||||||||
Debt of consolidated VIEs | $ | — | $ | 910 | $ | — | ||||||
Obligation to return U.S. Treasury securities borrowed under reverse repurchase agreements | 1,848 | — | — | |||||||||
Interest rate swaps | — | 400 | — | |||||||||
TBA securities | — | 22 | — | |||||||||
Total | $ | 1,848 | $ | 1,332 | $ | — | ||||||
Income_Taxes_Tables
Income Taxes (Tables) | 12 Months Ended | ||||||||||||||||||||
Dec. 31, 2014 | |||||||||||||||||||||
Income Tax Disclosure [Abstract] | |||||||||||||||||||||
Dividends Declared | The following table summarizes dividends for federal income tax purposes declared for fiscal tax years 2014, 2013 and 2012 and their related tax characterization (in millions, except per share amounts): | ||||||||||||||||||||
Tax Characterization | |||||||||||||||||||||
Fiscal Tax Year | Dividends Declared Per Share | Dividends Declared | Ordinary Income Per Share | Qualified Dividends | Long-Term Capital Gains Per Share | ||||||||||||||||
8.000 % Series A Cumulative Redeemable Preferred Stock | |||||||||||||||||||||
Fiscal year 2014 | $ | 2 | $ | 14 | $ | 2 | $ | — | $ | — | |||||||||||
Fiscal year 2013 | $ | 2 | $ | 14 | $ | 2 | $ | 0.01598 | $ | — | |||||||||||
Fiscal year 2012 1 | $ | 1.056 | $ | 7 | $ | 0.9523 | $ | — | $ | 0.1037 | |||||||||||
7.750% Series B Cumulative Redeemable Preferred Stock (Per Depositary Share) | |||||||||||||||||||||
Fiscal year 2014 2 | $ | 0.844965 | $ | 6 | $ | 0.844965 | $ | — | $ | — | |||||||||||
Common Stock | |||||||||||||||||||||
Fiscal year 2014 | $ | 2.61 | $ | 921 | $ | 2.61 | $ | — | $ | — | |||||||||||
Fiscal year 2013 | $ | 3.75 | $ | 1,453 | $ | 3.75 | $ | 0.029963 | $ | — | |||||||||||
Fiscal year 2012 | $ | 5 | $ | 1,518 | $ | 4.5092 | $ | — | $ | 0.4908 | |||||||||||
  ______________________ | |||||||||||||||||||||
1 | Excludes Series A Preferred Stock dividend of $0.500000 per share declared on December 17, 2012 having a record date of January 1, 2013, which for federal income tax purposes is a fiscal year 2013 dividend. | ||||||||||||||||||||
2 | Excludes Series B Preferred Stock dividend of $0.484375 per depositary share declared on December 18, 2014 having a record date of January 1, 2015, which for federal income tax purposes is a fiscal year 2015 dividend. |
Stockholders_Equity_Equity_Off
Stockholders' Equity Equity Offerings (Tables) | 12 Months Ended | ||||||||||||||
Dec. 31, 2014 | |||||||||||||||
Equity [Abstract] | |||||||||||||||
Schedule of Stock by Class | During fiscal years 2013 and 2012, we completed follow-on public offerings of shares of our common stock summarized in the table below (in millions, except per share amounts). During fiscal year 2014, we did not complete any follow-on public offerings of shares of our common stock. | ||||||||||||||
Public Offering | Price Received | Shares | Net Proceeds 2 | ||||||||||||
Per Share 1 | |||||||||||||||
Fiscal year 2013 | |||||||||||||||
Mar-13 | $31.34 | 57.5 | $ | 1,803 | |||||||||||
Total fiscal year 2013 | 57.5 | $ | 1,803 | ||||||||||||
Fiscal year 2012 | |||||||||||||||
Mar-12 | $29.00 | 71.2 | $ | 2,063 | |||||||||||
Jul-12 | $33.70 | 36.8 | 1,240 | ||||||||||||
Total fiscal year 2012 | 108 | $ | 3,303 | ||||||||||||
   ________________________ | |||||||||||||||
1 | Price received per share is gross of underwriters' discount, if applicable, and other offering costs. | ||||||||||||||
2 | Net proceeds are net of the underwriters' discount, if applicable, and other offering costs. | ||||||||||||||
The table below summarizes sales our common stock under such sales agreements during fiscal year 2012 (in millions, except per share amounts): | |||||||||||||||
At-the-Market Offering | Price Received | Shares | Net Proceeds | ||||||||||||
Per Share | |||||||||||||||
Fiscal year 2012 | $ | 31.41 | 9.5 | $ | 298 | ||||||||||
Schedule of Accumulated Other Comprehensive Income (Loss) | The following tables summarize changes to accumulated OCI for fiscal years 2014, 2013 and 2012 (in millions): | ||||||||||||||
Accumulated Other Comprehensive Income (Loss) | Net Unrealized Gain (Loss) on Available-for-Sale MBS | Net Unrealized Gain (Loss) on Swaps | Total Accumulated | ||||||||||||
OCI | |||||||||||||||
Balance | |||||||||||||||
Twelve Months Ended December 31, 2014 | |||||||||||||||
Balance as of December 31, 2013 | $ | (1,087 | ) | $ | (296 | ) | $ | (1,383 | ) | ||||||
OCI before reclassifications | 1,708 | — | 1,708 | ||||||||||||
Amounts reclassified from accumulated OCI | (51 | ) | 156 | 105 | |||||||||||
Balance as of December 31, 2014 | $ | 570 | $ | (140 | ) | $ | 430 | ||||||||
Twelve Months Ended December 31, 2013 | |||||||||||||||
Balance as of December 31, 2012 | $ | 2,040 | $ | (485 | ) | $ | 1,555 | ||||||||
OCI before reclassifications | (4,535 | ) | — | (4,535 | ) | ||||||||||
Amounts reclassified from accumulated OCI | 1,408 | 189 | 1,597 | ||||||||||||
Balance as of December 31, 2013 | $ | (1,087 | ) | $ | (296 | ) | $ | (1,383 | ) | ||||||
Twelve Months Ended December 31, 2012 | |||||||||||||||
Balance as of December 31, 2011 | $ | 1,001 | $ | (690 | ) | $ | 311 | ||||||||
OCI before reclassifications | 2,235 | — | 2,235 | ||||||||||||
Amounts reclassified from accumulated OCI | (1,196 | ) | 205 | (991 | ) | ||||||||||
Balance as of December 31, 2012 | $ | 2,040 | $ | (485 | ) | $ | 1,555 | ||||||||
The following tables summarize reclassifications out of accumulated OCI for fiscal years 2014, 2013 and 2012 (in millions): | |||||||||||||||
Fiscal Year | Line Item in the Consolidated | ||||||||||||||
Statements of Comprehensive Income | |||||||||||||||
Amounts Reclassified from Accumulated OCI | 2014 | 2013 | 2012 | Where Net Income is Presented | |||||||||||
(Gain) loss amounts reclassified from accumulated OCI for available-for-sale MBS | $ | (51 | ) | $ | 1,408 | $ | (1,196 | ) | Gain (loss) on sale of agency securities, net | ||||||
Periodic interest costs of interest rate swaps previously designated as hedges under GAAP, net | 156 | 189 | 205 | Interest expense | |||||||||||
     Total reclassifications | $ | 105 | $ | 1,597 | $ | (991 | ) | ||||||||
Quarterly_Results_Tables
Quarterly Results (Tables) | 12 Months Ended | |||||||||||||||
Dec. 31, 2014 | ||||||||||||||||
Quarterly Financial Information Disclosure [Abstract] | ||||||||||||||||
Schedule of Quarterly Financial Information | The following is a presentation of the quarterly results of operations and comprehensive income for fiscal years 2014 and 2013 (in millions, except per share data). | |||||||||||||||
Quarter Ended | ||||||||||||||||
March 31, | June 30, | September 30, | 31-Dec-14 | |||||||||||||
2014 | Â 2014 | Â 2014 | ||||||||||||||
Interest income: | ||||||||||||||||
Interest income | $ | 399 | $ | 385 | $ | 357 | $ | 331 | ||||||||
Interest expense | 108 | 95 | 88 | 81 | ||||||||||||
Net interest income | 291 | 290 | 269 | 250 | ||||||||||||
Other loss: | ||||||||||||||||
(Loss) gain on sale of agency securities, net | (19 | ) | 22 | 14 | 34 | |||||||||||
Loss on derivative instruments and other securities, net | (378 | ) | (244 | ) | (51 | ) | (572 | ) | ||||||||
Total other loss, net | (397 | ) | (222 | ) | (37 | ) | (538 | ) | ||||||||
Expenses: | ||||||||||||||||
Management fees | 29 | 30 | 30 | 30 | ||||||||||||
General and administrative expenses | 6 | 6 | 5 | 5 | ||||||||||||
Total expenses | 35 | 36 | 35 | 35 | ||||||||||||
Net (loss) income | (141 | ) | 32 | 197 | (323 | ) | ||||||||||
Dividend on preferred stock | 3 | 5 | 7 | 7 | ||||||||||||
Net (loss) income (attributable) available to common shareholders | $ | (144 | ) | $ | 27 | $ | 190 | $ | (330 | ) | ||||||
Net (loss) income | $ | (141 | ) | $ | 32 | $ | 197 | $ | (323 | ) | ||||||
Other comprehensive income (loss): | ||||||||||||||||
Unrealized gain (loss) on available-for-sale securities, net | 521 | 790 | (253 | ) | 599 | |||||||||||
Unrealized gain on derivative instruments, net | 43 | 40 | 38 | 35 | ||||||||||||
Other comprehensive income (loss) | 564 | 830 | (215 | ) | 634 | |||||||||||
Comprehensive income (loss) | 423 | 862 | (18 | ) | 311 | |||||||||||
Dividend on preferred stock | 3 | 5 | 7 | 7 | ||||||||||||
Comprehensive income (loss) available (attributable) to common shareholders | $ | 420 | $ | 857 | $ | (25 | ) | $ | 304 | |||||||
Weighted average number of common shares outstanding-basic and diluted | 354.8 | 352.8 | 352.8 | 352.8 | ||||||||||||
Net (loss) income per common share - basic and diluted | $ | (0.41 | ) | $ | 0.08 | $ | 0.54 | $ | (0.94 | ) | ||||||
Comprehensive income (loss) per common share - basic and diluted | $ | 1.18 | $ | 2.43 | $ | (0.07 | ) | $ | 0.86 | |||||||
Dividends declared per common share | $ | 0.65 | $ | 0.65 | $ | 0.65 | $ | 0.66 | ||||||||
Quarter Ended | ||||||||||||||||
March 31, | June 30, | September 30, | December 31, | |||||||||||||
2013 | Â 2013 | 2013 | 2013 | |||||||||||||
Interest income: | ||||||||||||||||
Interest income | $ | 547 | $ | 545 | $ | 558 | $ | 542 | ||||||||
Interest expense | 140 | 131 | 145 | 120 | ||||||||||||
Net interest income | 407 | 414 | 413 | 422 | ||||||||||||
Other (loss) income: | ||||||||||||||||
(Loss) gain on sale of agency securities, net | (26 | ) | 17 | (733 | ) | (667 | ) | |||||||||
(Loss) gain on derivative instruments and other securities, net | (98 | ) | 1,444 | (339 | ) | 184 | ||||||||||
Total other (loss) income, net | (124 | ) | 1,461 | (1,072 | ) | (483 | ) | |||||||||
Expenses: | ||||||||||||||||
Management fees | 33 | 37 | 35 | 31 | ||||||||||||
General and administrative expenses | 9 | 9 | 7 | 6 | ||||||||||||
Total expenses | 42 | 46 | 42 | 37 | ||||||||||||
Income (loss) before income tax | 241 | 1,829 | (701 | ) | (98 | ) | ||||||||||
Provision for income tax, net | 10 | — | — | 3 | ||||||||||||
Net income (loss) | 231 | 1,829 | (701 | ) | (101 | ) | ||||||||||
Dividend on preferred stock | 3 | 3 | 3 | 3 | ||||||||||||
Net income (loss) available (attributable) to common shareholders | $ | 228 | $ | 1,826 | $ | (704 | ) | $ | (104 | ) | ||||||
Net income (loss) | $ | 231 | $ | 1,829 | $ | (701 | ) | $ | (101 | ) | ||||||
Other comprehensive (loss) income: | ||||||||||||||||
Unrealized (loss) gain on available-for-sale securities, net | (837 | ) | (2,813 | ) | 833 | (311 | ) | |||||||||
Unrealized gain on derivative instruments, net | 49 | 48 | 47 | 46 | ||||||||||||
Other comprehensive (loss) income | (788 | ) | (2,765 | ) | 880 | (265 | ) | |||||||||
Comprehensive (loss) income | (557 | ) | (936 | ) | 179 | (366 | ) | |||||||||
Dividend on preferred stock | 3 | 3 | 3 | 3 | ||||||||||||
Comprehensive (loss) income (attributable) available to common shareholders | $ | (560 | ) | $ | (939 | ) | $ | 176 | $ | (369 | ) | |||||
Weighted average number of common shares outstanding-basic and diluted | 356.2 | 396.4 | 390.6 | 373 | ||||||||||||
Net income (loss) per common share - basic and diluted | $ | 0.64 | $ | 4.61 | $ | (1.80 | ) | $ | (0.28 | ) | ||||||
Comprehensive (loss) income per common share - basic and diluted | $ | (1.57 | ) | $ | (2.37 | ) | $ | 0.45 | $ | (0.99 | ) | |||||
Dividends declared per common share | $ | 1.25 | $ | 1.05 | $ | 0.8 | $ | 0.65 | ||||||||
Organization_Details
Organization (Details) | 12 Months Ended |
Dec. 31, 2014 | |
Organization [Abstract] | |
Required distribution of taxable net income on a annual basis | 90.00% |
Intended annual distribution of taxable net income | 100.00% |
Summary_of_Significant_Account2
Summary of Significant Accounting Policies (Details) | 12 Months Ended |
Dec. 31, 2014 | |
Accounting Policies [Abstract] | |
Required Annual Distribution of Taxable Net Income | 90.00% |
Ordinary Income Distribution % | 85.00% |
Capital Gain Distribution % | 95.00% |
Excise Tax Rate | 4.00% |
Investment_Securities_Narrativ
Investment Securities (Narrative) (Details) (USD $) | 12 Months Ended | ||||
Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 | |||
Schedule of Available-for-sale Securities [Line Items] | |||||
Total agency MBS, at fair value | $56,748,000,000 | $65,941,000,000 | |||
Gain Loss on Other Debt | -10,000,000 | 39,000,000 | -28,000,000 | ||
Future Prepayment Rate Assumption Of Investment Portfolio | 9.00% | 7.00% | |||
Fair value of CMO securities and interest-only strips | 1,600,000,000 | 1,700,000,000 | |||
Securitized CMO Securities | 2,100,000,000 | 2,300,000,000 | |||
CMO and Interest Only, Pricincipal Only Securities, Maximum Loss Exposure | 274,000,000 | 246,000,000 | |||
Fair value of agency securities collaterizing debt issued by securitization trust | 1,300,000,000 | 1,500,000,000 | |||
Principal balance of agency securities collaterizing debt issued by securitization trust | 1,200,000,000 | 1,400,000,000 | |||
Debt Instrument, Face Amount | 742,000,000 | 900,000,000 | |||
Other Long-term Debt | 761,000,000 | 910,000,000 | |||
Weighted Average Life Interest Only Securities | 6 years 17 days | 6 years 4 months | |||
Weighted Average Life Principal Only Securities | 8 years 28 days | 8 years 7 months | |||
Agency Securities [Member] | |||||
Schedule of Available-for-sale Securities [Line Items] | |||||
Debt Instrument, Unamortized Discount (Premium), Net | 2,500,000,000 | 3,000,000,000 | |||
Interest Only And Principal Only Strip [Member] | |||||
Schedule of Available-for-sale Securities [Line Items] | |||||
Unrealized Gain (Loss) on Securities | 32,000,000 | 17,000,000 | |||
TBA securities Fifteen Year and Thirty Year Securities [Member] | |||||
Schedule of Available-for-sale Securities [Line Items] | |||||
Derivative Asset, Fair Value, Gross Asset | 14,768,000,000 | 2,271,000,000 | |||
Derivative, Fair Value, Net | $192,000,000 | [1] | ($5,000,000) | [1] | |
[1] | Notional amount represents the par value (or principal balance) of the underlying agency security. |
Investment_Securities_Summary_
Investment Securities (Summary of Investment in Agency Security) (Details) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Millions, unless otherwise specified | ||
Amortized cost | $55,776 | $66,593 |
Total agency MBS, at fair value | 56,748 | 65,941 |
Agency Securities Gross Unrealized Gain | 791 | 276 |
Agency Securities Gross Unrealized Loss | -191 | -1,360 |
Available-for-sale Securities | 56,346 | 65,504 |
Agency Securities Amortized Cost | 56,148 | 67,025 |
Fixed Income Securities [Member] | ||
Agency Securities Gross Unrealized Gain | 715 | 242 |
Agency Securities Gross Unrealized Loss | -187 | -1,338 |
Fixed Income Securities [Member] | Agency Securities [Member] | ||
Amortized cost | 53,945 | 64,057 |
Available-for-sale Securities | 54,473 | 62,961 |
Adjustable-Rate [Member] | ||
Agency Securities Gross Unrealized Gain | 19 | 15 |
Agency Securities Gross Unrealized Loss | 0 | -3 |
Adjustable-Rate [Member] | Agency Securities [Member] | ||
Amortized cost | 659 | 1,223 |
Available-for-sale Securities | 678 | 1,235 |
Collateralized Mortgage Obligations [Member] | ||
Agency Securities Gross Unrealized Gain | 24 | 3 |
Agency Securities Gross Unrealized Loss | -1 | -8 |
Collateralized Mortgage Obligations [Member] | Agency Securities [Member] | ||
Amortized cost | 1,172 | 1,313 |
Available-for-sale Securities | 1,195 | 1,308 |
Interest Only And Principal Only Strip [Member] | ||
Agency Securities Gross Unrealized Gain | 33 | 16 |
Agency Securities Gross Unrealized Loss | -3 | -11 |
Interest Only And Principal Only Strip [Member] | Agency Securities [Member] | ||
Trading Securities, Cost | 372 | 432 |
Trading Securities, Other | $402 | $437 |
Investment_Securities_Componen
Investment Securities (Components Of Investment Securities) (Details) (USD $) | 12 Months Ended | |||
Dec. 31, 2014 | Dec. 31, 2013 | |||
Schedule of Investments [Line Items] | ||||
Amortized cost | $55,776,000,000 | $66,593,000,000 | ||
Total agency MBS, at fair value | 56,748,000,000 | 65,941,000,000 | ||
Weighted average coupon | 3.65% | 3.58% | [1] | |
Weighted average yield | 2.74% | 2.70% | [2] | |
Weighted average yield for the year ended | 2.63% | 2.77% | ||
Unamortized Principal Balance Of Interest Only Strips | 1,200,000,000 | 1,400,000,000 | ||
Weighted Average Contractual Interest Rate Of Interest Only Strips | 5.46% | 5.50% | ||
Unamortized Principal Balance Of Principal Only Strips | 242,000,000 | 271,000,000 | ||
Future Prepayment Rate Assumption Of Investment Portfolio | 9.00% | 7.00% | ||
Available-for-sale Securities [Member] | ||||
Schedule of Investments [Line Items] | ||||
Agency MBS, par | 53,422,000,000 | 63,777,000,000 | ||
Unamortized discount | -42,000,000 | -32,000,000 | ||
Unamortized premium | 2,396,000,000 | 2,848,000,000 | ||
Amortized cost | 55,776,000,000 | 66,593,000,000 | ||
Gross unrealized gains | 758,000,000 | 260,000,000 | ||
Gross unrealized losses | -188,000,000 | -1,349,000,000 | ||
Total available-for-sale agency MBS, at fair value | 56,346,000,000 | 65,504,000,000 | ||
Agency securities remeasured at fair value through earnings [Member] | ||||
Schedule of Investments [Line Items] | ||||
Interest-only and principal-only strips, amortized cost | 372,000,000 | 432,000,000 | ||
Gross unrealized gains | 33,000,000 | 16,000,000 | ||
Gross unrealized losses | -3,000,000 | -11,000,000 | ||
Total agency MBS remeasured at fair value through earnings | 402,000,000 | 437,000,000 | ||
Fannie Mae | ||||
Schedule of Investments [Line Items] | ||||
Total agency MBS, at fair value | 45,451,000,000 | 52,693,000,000 | ||
Weighted average coupon | 3.63% | [1] | 3.53% | [1] |
Weighted average yield | 2.75% | [2] | 2.66% | [2] |
Weighted average yield for the year ended | 2.62% | 2.74% | ||
Fannie Mae | Available-for-sale Securities [Member] | ||||
Schedule of Investments [Line Items] | ||||
Agency MBS, par | 42,749,000,000 | 50,914,000,000 | ||
Unamortized discount | -37,000,000 | -25,000,000 | ||
Unamortized premium | 1,880,000,000 | 2,210,000,000 | ||
Amortized cost | 44,592,000,000 | 53,099,000,000 | ||
Gross unrealized gains | 610,000,000 | 181,000,000 | ||
Gross unrealized losses | -127,000,000 | -991,000,000 | ||
Total available-for-sale agency MBS, at fair value | 45,075,000,000 | 52,289,000,000 | ||
Fannie Mae | Agency securities remeasured at fair value through earnings [Member] | ||||
Schedule of Investments [Line Items] | ||||
Interest-only and principal-only strips, amortized cost | 348,000,000 | 400,000,000 | ||
Gross unrealized gains | 30,000,000 | 13,000,000 | ||
Gross unrealized losses | -2,000,000 | -9,000,000 | ||
Total agency MBS remeasured at fair value through earnings | 376,000,000 | 404,000,000 | ||
Freddie Mac | ||||
Schedule of Investments [Line Items] | ||||
Total agency MBS, at fair value | 11,185,000,000 | 13,013,000,000 | ||
Weighted average coupon | 3.70% | [1] | 3.78% | [1] |
Weighted average yield | 2.73% | [2] | 2.87% | [2] |
Weighted average yield for the year ended | 2.64% | 2.87% | ||
Freddie Mac | Available-for-sale Securities [Member] | ||||
Schedule of Investments [Line Items] | ||||
Agency MBS, par | 10,566,000,000 | 12,640,000,000 | ||
Unamortized discount | -5,000,000 | -7,000,000 | ||
Unamortized premium | 514,000,000 | 631,000,000 | ||
Amortized cost | 11,075,000,000 | 13,264,000,000 | ||
Gross unrealized gains | 145,000,000 | 74,000,000 | ||
Gross unrealized losses | -61,000,000 | -358,000,000 | ||
Total available-for-sale agency MBS, at fair value | 11,159,000,000 | 12,980,000,000 | ||
Freddie Mac | Agency securities remeasured at fair value through earnings [Member] | ||||
Schedule of Investments [Line Items] | ||||
Interest-only and principal-only strips, amortized cost | 24,000,000 | 32,000,000 | ||
Gross unrealized gains | 3,000,000 | 3,000,000 | ||
Gross unrealized losses | -1,000,000 | -2,000,000 | ||
Total agency MBS remeasured at fair value through earnings | 26,000,000 | 33,000,000 | ||
Ginnie Mae | ||||
Schedule of Investments [Line Items] | ||||
Total agency MBS, at fair value | 112,000,000 | 235,000,000 | ||
Weighted average coupon | 3.52% | [1] | 3.56% | [1] |
Weighted average yield | 1.87% | [2] | 1.66% | [2] |
Weighted average yield for the year ended | 1.66% | 1.79% | ||
Ginnie Mae | Available-for-sale Securities [Member] | ||||
Schedule of Investments [Line Items] | ||||
Agency MBS, par | 107,000,000 | 223,000,000 | ||
Unamortized discount | 0 | 0 | ||
Unamortized premium | 2,000,000 | 7,000,000 | ||
Amortized cost | 109,000,000 | 230,000,000 | ||
Gross unrealized gains | 3,000,000 | 5,000,000 | ||
Gross unrealized losses | 0 | 0 | ||
Total available-for-sale agency MBS, at fair value | 112,000,000 | 235,000,000 | ||
Ginnie Mae | Agency securities remeasured at fair value through earnings [Member] | ||||
Schedule of Investments [Line Items] | ||||
Interest-only and principal-only strips, amortized cost | 0 | 0 | ||
Gross unrealized gains | 0 | 0 | ||
Gross unrealized losses | 0 | 0 | ||
Total agency MBS remeasured at fair value through earnings | $0 | $0 | ||
[1] | The underlying unamortized principal balance ("UPB" or "par value") of our interest-only agency MBS strips was $1.2 billion and the weighted average contractual interest we are entitled to receive was 5.46% of this amount as of DecemberB 31, 2014. The par value of our principal-only agency MBS strips was $242 million as of DecemberB 31, 2014. | |||
[2] | Incorporates a weighted average future constant prepayment rate assumption of 9% based on forward rates as of DecemberB 31, 2014 |
Investment_Securities_Summary_1
Investment Securities (Summary Of Agency Securities Estimated Weighted Average Life Classifications) (Details) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Millions, unless otherwise specified | ||
Agency securities classified as available for sale, Fair value | $56,346 | $65,504 |
Agency securities classified as available for sale, Amortized cost | 55,776 | 66,593 |
Weighted Average Coupon | 3.54% | 3.47% |
Weighted Average Yield | 2.72% | 2.68% |
Less Than or Equal to One Year [Member] | ||
Fair Value | 129 | |
Amortized Cost | 129 | |
Weighted Average Coupon | 3.07% | |
Weighted Average Yield | 2.53% | |
Greater Than One Year and Less Than or Equal to Three Years [Member] | ||
Fair Value | 289 | 498 |
Amortized Cost | 280 | 491 |
Weighted Average Coupon | 4.08% | 4.08% |
Weighted Average Yield | 2.62% | 2.25% |
Greater Than Three Years and Less Than or Equal to Five Years [Member] | ||
Fair Value | 22,153 | 24,471 |
Amortized Cost | 21,820 | 24,342 |
Weighted Average Coupon | 3.26% | 3.59% |
Weighted Average Yield | 2.40% | 2.57% |
Greater Than Five Years [Member] | ||
Fair Value | 33,271 | 38,522 |
Amortized Cost | 33,055 | 39,635 |
Weighted Average Coupon | 3.73% | 3.39% |
Weighted Average Yield | 2.92% | 2.73% |
Greater Than Ten Years [Member] | ||
Fair Value | 633 | 1,884 |
Amortized Cost | $621 | $1,996 |
Weighted Average Coupon | 3.28% | 3.66% |
Weighted Average Yield | 3.15% | 2.96% |
Investment_Securities_Summary_2
Investment Securities (Summary Of Changes In Accumulated OCI For Available-For-Sale Security) (Details) (USD $) | 3 Months Ended | 12 Months Ended | |||||||||
In Millions, unless otherwise specified | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 |
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||||||||||
Unrealized Gains and (Losses), Net | $599 | ($253) | $790 | $521 | ($311) | $833 | ($2,813) | ($837) | $1,657 | ($3,127) | $1,039 |
Agency Securities [Member] | |||||||||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||||||||||
Beginning OCI Balance | -1,087 | 2,040 | -1,087 | 2,040 | 1,001 | ||||||
Unrealized Gains and (Losses), Net | 1,708 | -4,535 | 2,235 | ||||||||
Reversal of Unrealized (Gains) and Losses, Net on Realization | -51 | 1,408 | -1,196 | ||||||||
Ending OCI Balance | $570 | ($1,087) | ($1,087) | $570 | ($1,087) | $2,040 |
Investment_Securities_Summary_3
Investment Securities (Summary Of Continuous Unrealized Loss Positions Of Available-For-Sale Security) (Details) (Accumulated Other Comprehensive Income (Loss) [Member], USD $) | 12 Months Ended | |
In Millions, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 |
Accumulated Other Comprehensive Income (Loss) [Member] | ||
Unrealized Loss Position For - Estimated Fair Value - Less than 12 Months | $778 | $42,853 |
Unrealized Loss Position For - Unrealized Loss - Less than 12 Months | -2 | -1,248 |
Unrealized Loss Position For - Estimated Fair Value - 12 Months or More | 11,679 | 1,586 |
Unrealized Loss Position For - Unrealized Loss - 12 Months or More | -186 | -101 |
Unrealized Loss Position For - Estimated Fair Value - Total | 12,457 | 44,439 |
Unrealized Loss Position For - Unrealized Loss - Total | ($188) | ($1,349) |
Investment_Securities_Summary_4
Investment Securities (Summary Of Net Gain From Sale Of Agency Securities) (Details) (USD $) | 3 Months Ended | 12 Months Ended | |||||||||
In Millions, unless otherwise specified | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 |
Proceeds from agency MBS sold | ($56,068) | ($54,952) | ($39,012) | ||||||||
Net gain (loss) on sale of agency MBS | 34 | 14 | 22 | -19 | -667 | -733 | 17 | -26 | 51 | -1,408 | 1,196 |
Agency Securities [Member] | |||||||||||
Agency MBS sold, at cost | -30,123 | -81,516 | -63,610 | ||||||||
Proceeds from agency MBS sold | -30,174 | -80,108 | -64,806 | ||||||||
Net gain (loss) on sale of agency MBS | 51 | -1,408 | 1,196 | ||||||||
Gross gain on sale of agency MBS | 172 | 217 | 1,209 | ||||||||
Gross loss on sale of agency MBS | ($121) | ($1,625) | ($13) |
Repurchase_Agreements_And_Othe1
Repurchase Agreements And Other Debt (Narrative) (Details) (USD $) | 12 Months Ended | |
In Millions, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 |
Disclosure of Repurchase Agreements [Abstract] | ||
Other Long-term Debt | $761 | $910 |
Weighted Average Life of Other Debt | 5 years 9 months | 7 years 1 month |
Debt Instrument, Face Amount | $742 | $900 |
Debt Instrument, Description of Variable Rate Basis, LIBOR | LIBOR | |
Spread Over LIBOR | 43 | 42 |
Repurchase_Agreements_And_Othe2
Repurchase Agreements And Other Debt (Repurchase Arrangements And Weighted Average Interest Rates Classified By Original Maturities) (Details) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Millions, unless otherwise specified | ||
Repurchase Agreements | $50,296 | $63,533 |
Weighted Average Days to Maturity | 138 | 119 |
30 Days or Less [Member] | ||
Repurchase Agreements | 14,157 | 23,577 |
Weighted Average Interest Rate | 0.37% | 0.42% |
Weighted Average Days to Maturity | 15 | 15 |
2 to 3 Months | ||
Repurchase Agreements | 20,223 | 20,490 |
Weighted Average Interest Rate | 0.38% | 0.43% |
Weighted Average Days to Maturity | 61 | 61 |
4 to 6 Months | ||
Repurchase Agreements | 6,654 | 6,946 |
Weighted Average Interest Rate | 0.42% | 0.45% |
Weighted Average Days to Maturity | 120 | 140 |
7 to 9 Months | ||
Repurchase Agreements | 1,575 | 2,232 |
Weighted Average Interest Rate | 0.50% | 0.53% |
Weighted Average Days to Maturity | 225 | 230 |
10 to 12 Months | ||
Repurchase Agreements | 2,678 | 3,607 |
Weighted Average Interest Rate | 0.54% | 0.54% |
Weighted Average Days to Maturity | 313 | 323 |
13 to 24 Months | ||
Repurchase Agreements | 600 | 3,261 |
Weighted Average Interest Rate | 0.57% | 0.60% |
Weighted Average Days to Maturity | 551 | 603 |
25 to 36 Months | ||
Repurchase Agreements | 952 | 500 |
Weighted Average Interest Rate | 0.60% | 0.62% |
Weighted Average Days to Maturity | 999 | 930 |
37 to 48 months | ||
Repurchase Agreements | 650 | 202 |
Weighted Average Interest Rate | 0.64% | 0.71% |
Weighted Average Days to Maturity | 1,266 | 1,257 |
49 to 60 Months | ||
Repurchase Agreements | 900 | 400 |
Weighted Average Interest Rate | 0.68% | 0.66% |
Weighted Average Days to Maturity | 1,542 | 1,574 |
Repurchase Agreements [Member] | ||
Weighted Average Interest Rate | 0.40% | 0.44% |
Agency Securities [Member] | ||
Repurchase Agreements | 48,389 | 61,215 |
Weighted Average Days to Maturity | 143 | 124 |
Agency Securities [Member] | Repurchase Agreements [Member] | ||
Weighted Average Interest Rate | 0.41% | 0.45% |
US Treasury Securities [Member] | ||
Repurchase Agreements | $1,907 | $2,318 |
Weighted Average Interest Rate | 0.09% | 0.02% |
Weighted Average Days to Maturity | 1 | 1 |
Derivative_and_Other_Hedging_I2
Derivative and Other Hedging Instruments (Narrative) (Details) (USD $) | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||||||||||
In Millions, unless otherwise specified | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Sep. 30, 2013 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 |
Derivative Instruments, Gain (Loss) Reclassified from Accumulated OCI into Income, Effective Portion, Net, De-Designated Interest Rate Swaps | ($156) | ($189) | ($205) | ||||||||||
Unrealized gain on derivative instruments, net | 35 | 38 | 40 | 43 | 46 | 47 | 48 | 49 | 156 | 189 | 205 | ||
Net Periodic Interest Rate Costs on Swaps | 613 | 486 | 457 | ||||||||||
Derivative Instruments, Gain Reclassified from Accumulated OCI into Income, Effective Portion | -424 | -330 | -252 | ||||||||||
Discontinuation of Election to Account for Interest Rate Swaps as Designated Cash Flow Hedges [Member] | |||||||||||||
Deferred Gain (Loss) on Discontinuation of Interest Rate Fair Value Hedge | -140 | 296 | -296 | -296 | -140 | 296 | 485 | 690 | |||||
Deferred gain loss discontinued interest rate swap expected to be reclassified from OCI to interest expense next twelve months | $101 | ||||||||||||
Discontinuation of Election to Account for Interest Rate Swaps as Designated Cash Flow Hedges [Member] | Interest Rate Swaps [Member] | |||||||||||||
Average Maturity (Years) | 1 year 5 months |
Derivative_and_Other_Hedging_I3
Derivative and Other Hedging Instruments (Derivative and Other Hedging Instrument Assets (Liabilities), at Fair Value) (Details) (USD $) | 12 Months Ended | |
Dec. 31, 2014 | Dec. 31, 2013 | |
Derivative [Line Items] | ||
Derivative Instruments Not Designated as Hedging Instruments, Asset, at Fair Value | $408,000,000 | $1,194,000,000 |
Derivative Instruments Not Designated as Hedging Instruments, Liability, at Fair Value | 890,000,000 | 422,000,000 |
Derivative assets, at fair value | 408,000,000 | 1,194,000,000 |
U.S. Treasury securities, at fair value (including pledged securities of $2,375 and $3,778, respectively) | 2,427,000,000 | 3,822,000,000 |
Financial Instruments Sold, Not yet Purchased, US Government and Agency Obligations | -5,363,000,000 | -1,848,000,000 |
government bonds owned and sold short net | -2,936,000,000 | 1,974,000,000 |
Proceeds from Securities Purchased under Agreements to Resell | 5,400,000,000 | 1,900,000,000 |
Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Derivative Instruments Not Designated as Hedging Instruments, Liability, at Fair Value | 880,000,000 | 400,000,000 |
Interest Rate Swap [Member] | Fair Value, Inputs, Level 2 [Member] | ||
Derivative [Line Items] | ||
Derivative Instruments Not Designated as Hedging Instruments, Asset, at Fair Value | 136,000,000 | 880,000,000 |
Interest Rate Swaption [Member] | Fair Value, Inputs, Level 2 [Member] | ||
Derivative [Line Items] | ||
Derivative Instruments Not Designated as Hedging Instruments, Asset, at Fair Value | 75,000,000 | 258,000,000 |
Purchases Of TBAs And Forward Settling Agency Securities [Member] | ||
Derivative [Line Items] | ||
Derivative Instruments Not Designated as Hedging Instruments, Asset, at Fair Value | 17,000,000 | |
Derivative Instruments Not Designated as Hedging Instruments, Liability, at Fair Value | 5,000,000 | 22,000,000 |
Future [Member] | Fair Value, Inputs, Level 1 [Member] | US Treasury Securities [Member] | ||
Derivative [Line Items] | ||
Derivative Instruments Not Designated as Hedging Instruments, Liability, at Fair Value | 5,000,000 | 39,000,000 |
TBA and Forward Settling Agency Securities [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | ||
Derivative [Line Items] | ||
Derivative assets, at fair value | 17,000,000 | |
TBA and Forward Settling Agency Securities [Member] | Fair Value, Measurements, Recurring [Member] | Purchases Of TBAs And Forward Settling Agency Securities [Member] | Fair Value, Inputs, Level 2 [Member] | ||
Derivative [Line Items] | ||
Derivative assets, at fair value | $197,000,000 |
Derivative_and_Other_Hedging_I4
Derivative and Other Hedging Instruments (Summary Of Outstanding Interest Rate Swaps) (Details) (USD $) | 12 Months Ended | |
In Millions, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 |
Notional Amount | $6,800 | |
Interest Rate Swap [Member] | ||
Average Receive Rate | 0.23% | 0.22% |
Net Estimated Fair Value | -744 | 480 |
Notional Amount | 43,700 | 43,250 |
Average Fixed Pay Rate | 2.05% | 1.70% |
Average Maturity (Years) | 5 years 9 months 1 day | 4 years 8 months |
Forward Contracts [Member] | Interest Rate Swap [Member] | ||
Average Maturity (Years) | 7 years 11 months 3 days | |
Derivative, Notional Amount | 12,400 | 4,000 |
Derivative, Higher Remaining Maturity Range | 1 year 20 days | 1 year 10 months 14 days |
Interest Rate Swaps Excluding Forward Starting [Member] | Interest Rate Swap [Member] | ||
Average Fixed Pay Rate | 1.68% | 1.57% |
Greater Than One Year and Less Than or Equal to Three Years [Member] | Interest Rate Swap [Member] | ||
Average Receive Rate | 0.21% | 0.19% |
Net Estimated Fair Value | -87 | -382 |
Notional Amount | 12,300 | 16,750 |
Average Fixed Pay Rate | 1.33% | 1.57% |
Average Maturity (Years) | 2 years 6 days | 1 year 7 months |
Less Than or Equal to One Year [Member] | Receiver Interest Rate Swaps [Member] | ||
Notional Amount | 4,250 | |
Average Fixed Pay Rate | 1.78% | |
Average Maturity (Years) | 6 years 4 months 7 days | |
Greater Than Three Years and Less Than or Equal to Five Years [Member] | Interest Rate Swap [Member] | ||
Average Receive Rate | 0.24% | 0.24% |
Net Estimated Fair Value | -4 | 81 |
Notional Amount | 8,975 | 10,225 |
Average Fixed Pay Rate | 1.63% | 1.07% |
Average Maturity (Years) | 4 years 2 months 7 days | 3 years 11 months |
Greater Than Five Years and Less than or Equal to Seven Years [Member] | Interest Rate Swap [Member] | ||
Average Receive Rate | 0.23% | 0.26% |
Net Estimated Fair Value | -139 | 113 |
Notional Amount | 7,250 | 5,700 |
Average Fixed Pay Rate | 2.47% | 1.97% |
Average Maturity (Years) | 6 years 24 days | 6 years |
Greater Than Seven Years and Less than or Equal to Ten Years [Member] | Interest Rate Swap [Member] | ||
Average Receive Rate | 0.24% | 0.24% |
Net Estimated Fair Value | -223 | 499 |
Notional Amount | 10,775 | 8,825 |
Average Fixed Pay Rate | 2.48% | 2.28% |
Average Maturity (Years) | 8 years 3 months 19 days | 8 years 9 months |
Greater Than Ten Years [Member] | Interest Rate Swap [Member] | ||
Average Receive Rate | 0.23% | 0.24% |
Net Estimated Fair Value | -291 | 169 |
Notional Amount | $4,400 | $1,750 |
Average Fixed Pay Rate | 3.19% | 2.79% |
Average Maturity (Years) | 12 years 7 months 14 days | 14 years 8 months |
Derivative_and_Other_Hedging_I5
Derivative and Other Hedging Instruments (Remaining Interest Rate Swap Term) (Details) (USD $) | 12 Months Ended | |
In Millions, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 |
years | years | |
Cost | $145 | |
Notional Amount | 6,800 | |
Fair Value | 46 | |
Interest Rate Swaption [Member] | ||
Cost | 335 | |
Notional Amount | 14,250 | |
Average Maturity (Years) | 6 years 1 month 29 days | 7 years |
Average Fixed Pay Rate | 3.28% | 3.09% |
Fair Value | 258 | |
Average Months to Expiration | 8 | 10 |
Payer Swaption [Member] | ||
Average Receive Rate (LIBOR) | 3M | 3M |
Less Than or Equal to One Year [Member] | Interest Rate Swaption [Member] | ||
Cost | 113 | 193 |
Notional Amount | 5,600 | 9,400 |
Average Maturity (Years) | 6 years 4 months 22 days | 7 years 9 months |
Average Fixed Pay Rate | 3.15% | 2.87% |
Fair Value | 36 | 117 |
Average Months to Expiration | 6 | 4 |
Less Than or Equal to One Year [Member] | Receiver Swaption [Member] | ||
Cost | 18 | |
Notional Amount | 4,250 | |
Average Maturity (Years) | 6 years 4 months 7 days | |
Average Fixed Pay Rate | 1.78% | |
Average Receive Rate (LIBOR) | 3M | |
Fair Value | 29 | |
Average Months to Expiration | 5 | |
Less Than or Equal to One Year [Member] | Payer Swaption [Member] | ||
Average Receive Rate (LIBOR) | 3M | 3M |
Greater Than One Year and Less Than or Equal to Three Years [Member] | Interest Rate Swaption [Member] | ||
Cost | 32 | 105 |
Notional Amount | 1,200 | 3,600 |
Average Maturity (Years) | 5 years 30 days | 5 years 7 months |
Average Fixed Pay Rate | 3.87% | 3.40% |
Fair Value | 10 | 92 |
Average Months to Expiration | 16 | 19 |
Greater Than One Year and Less Than or Equal to Three Years [Member] | Payer Swaption [Member] | ||
Average Receive Rate (LIBOR) | 3M | 3M |
greater than two years less than or equal to three years [Member] | Interest Rate Swaption [Member] | ||
Cost | 35 | |
Notional Amount | 1,150 | |
Average Maturity (Years) | 5 years 9 months | |
Average Fixed Pay Rate | 3.81% | |
Fair Value | 45 | |
Average Months to Expiration | 30 | |
greater than two years less than or equal to three years [Member] | Payer Swaption [Member] | ||
Average Receive Rate (LIBOR) | 3M | |
greater than four years less than or equal to five years [Member] | Interest Rate Swaption [Member] | ||
Cost | 2 | |
Notional Amount | 100 | |
Average Maturity (Years) | 7 years | |
Average Fixed Pay Rate | 4.80% | |
Fair Value | $4 | |
Average Months to Expiration | 52 | |
greater than four years less than or equal to five years [Member] | Payer Swaption [Member] | ||
Average Receive Rate (LIBOR) | 3M |
Derivative_and_Other_Hedging_I6
Derivative and Other Hedging Instruments US Treasury Securities (Details) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Millions, unless otherwise specified | ||
Derivative [Line Items] | ||
government bonds owned and sold short net | ($2,936) | $1,974 |
5 Year Maturity [Member] | ||
Derivative [Line Items] | ||
government bonds owned and sold short net | -4,674 | |
7 Years Maturity [Member] | ||
Derivative [Line Items] | ||
government bonds owned and sold short net | -717 | |
10 Year Maturity [Member] | ||
Derivative [Line Items] | ||
government bonds owned and sold short net | 2,410 | |
Fair Value Hedging [Member] | ||
Derivative [Line Items] | ||
government bonds owned and sold short net | -2,936 | 1,974 |
Fair Value Hedging [Member] | 5 Year Maturity [Member] | ||
Derivative [Line Items] | ||
government bonds owned and sold short net | -4,645 | 1,201 |
Fair Value Hedging [Member] | 7 Years Maturity [Member] | ||
Derivative [Line Items] | ||
government bonds owned and sold short net | -718 | 56 |
Fair Value Hedging [Member] | 10 Year Maturity [Member] | ||
Derivative [Line Items] | ||
government bonds owned and sold short net | 2,427 | 717 |
At Par Value [Member] | ||
Derivative [Line Items] | ||
government bonds owned and sold short net | -2,981 | 1,920 |
At Par Value [Member] | 5 Year Maturity [Member] | ||
Derivative [Line Items] | ||
government bonds owned and sold short net | 1,225 | |
At Par Value [Member] | 7 Years Maturity [Member] | ||
Derivative [Line Items] | ||
government bonds owned and sold short net | 60 | |
At Par Value [Member] | 10 Year Maturity [Member] | ||
Derivative [Line Items] | ||
government bonds owned and sold short net | 635 | |
At Cost Basis [Member] | ||
Derivative [Line Items] | ||
government bonds owned and sold short net | -2,945 | 1,985 |
At Cost Basis [Member] | 5 Year Maturity [Member] | ||
Derivative [Line Items] | ||
government bonds owned and sold short net | -4,650 | 1,211 |
At Cost Basis [Member] | 7 Years Maturity [Member] | ||
Derivative [Line Items] | ||
government bonds owned and sold short net | -717 | 57 |
At Cost Basis [Member] | 10 Year Maturity [Member] | ||
Derivative [Line Items] | ||
government bonds owned and sold short net | $2,422 | $717 |
Derivative_and_Other_Hedging_I7
Derivative and Other Hedging Instruments (Summary of Outstanding TBAs) (Details) (TBA securities Fifteen Year and Thirty Year Securities [Member], USD $) | Dec. 31, 2014 | Dec. 31, 2013 | ||
In Millions, unless otherwise specified | ||||
Derivative [Line Items] | ||||
Derivative Asset, Fair Value, Gross Asset | $14,768 | $2,271 | ||
Notional Amount | 14,412 | [1] | 2,119 | [1] |
Derivative, Forward Settlement Value | 14,576 | 2,276 | ||
Derivative, Fair Value, Net | 192 | [1] | -5 | [1] |
Short [Member] | ||||
Derivative [Line Items] | ||||
Derivative Liability, Fair Value, Gross Liability | -3,148 | -4,593 | ||
Notional Amount | -2,976 | -4,541 | ||
Derivative, Forward Settlement Value | -3,193 | -4,606 | ||
Derivative, Fair Value, Net | 45 | 13 | ||
Long [Member] | ||||
Derivative [Line Items] | ||||
Derivative Asset, Fair Value, Gross Asset | 17,916 | 6,864 | ||
Notional Amount | 17,388 | 6,660 | ||
Derivative, Forward Settlement Value | 17,769 | 6,882 | ||
Derivative, Fair Value, Net | $147 | ($18) | ||
[1] | Notional amount represents the par value (or principal balance) of the underlying agency security. |
Derivative_and_Other_Hedging_I8
Derivative and Other Hedging Instruments (Effect Of Derivative Instruments Not Designated As Hedges On Comprehensive Income Statement) (Details) (USD $) | 12 Months Ended | |||
In Millions, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 |
Notional Amount | $6,800 | |||
Amount Gain/(Loss) Recognized in Income on Derivatives | -1,333 | 1,156 | -1,342 | |
Variable Interest Entity, Measure of Activity, Expense | -10 | |||
Gain (loss) on REIT Equity Securities | 75 | |||
Gain Loss on Other Debt | -10 | 39 | -28 | |
Interest Only And Principal Only Strip [Member] | ||||
Unrealized Gain (Loss) on Securities | 32 | 17 | ||
Put Option [Member] | ||||
Notional Amount | -165 | |||
Additions | -150 | -50 | ||
Settlement, Expirations or Exercise | 150 | 50 | 165 | |
Interest Rate Swaption [Member] | ||||
Notional Amount | 14,250 | |||
Additions | -5,250 | -23,800 | -18,250 | |
Settlement, Expirations or Exercise | 12,700 | 24,000 | 7,000 | |
Notional Amount | 14,250 | |||
Amount Gain/(Loss) Recognized in Income on Derivatives | -193 | 258 | -106 | |
TBA and Forward Settling Agency Securities [Member] | ||||
Notional Amount | 2,119 | 12,477 | -104 | |
Additions | 213,627 | 42,707 | -36,174 | |
Settlement, Expirations or Exercise | -53,065 | 48,755 | ||
Notional Amount | 14,412 | 2,119 | 12,477 | |
Amount Gain/(Loss) Recognized in Income on Derivatives | 1,117 | -726 | 31 | |
Purchases Of TBAs And Forward Settling Agency Securities [Member] | ||||
Settlement, Expirations or Exercise | -201,334 | |||
Interest Rate Swap [Member] | ||||
Notional Amount | 43,250 | |||
Additions | -20,550 | -20,750 | -25,000 | |
Settlement, Expirations or Exercise | 20,100 | 24,350 | 8,400 | |
Notional Amount | 43,700 | 43,250 | ||
Amount Gain/(Loss) Recognized in Income on Derivatives | -1,838 | 1,145 | -1,034 | |
Receiver Swaption [Member] | Interest Rate Swaption [Member] | ||||
Additions | 5,500 | |||
Settlement, Expirations or Exercise | -1,250 | |||
Amount Gain/(Loss) Recognized in Income on Derivatives | 11 | |||
Future [Member] | US Treasury Securities [Member] | ||||
Notional Amount | -1,730 | -783 | ||
Additions | -2,920 | -9,239 | -3,838 | |
Settlement, Expirations or Exercise | 3,920 | 7,509 | 4,621 | |
Notional Amount | -730 | -1,730 | ||
Amount Gain/(Loss) Recognized in Income on Derivatives | -76 | 49 | -90 | |
Other derivative instruments [Member] | ||||
Amount Gain/(Loss) Recognized in Income on Derivatives | -7 | 6 | ||
Interest Only And Principal Only Strip [Member] | ||||
Amount Gain/(Loss) Recognized in Income on Derivatives | 2 | |||
Not Designated as Hedging Instrument [Member] | Interest Rate Swaption [Member] | ||||
Notional Amount | -3,200 | |||
Notional Amount | -6,800 | -14,250 | -14,450 | -3,200 |
Not Designated as Hedging Instrument [Member] | Receiver Swaption [Member] | ||||
Notional Amount | 4,250 | |||
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | ||||
Notional Amount | -30,250 | |||
Notional Amount | -43,700 | -43,250 | -46,850 | -30,250 |
Short [Member] | US Treasury Securities [Member] | ||||
Notional Amount | -2,007 | -11,835 | -880 | |
Additions | -36,489 | -31,941 | -36,555 | |
Settlement, Expirations or Exercise | 33,104 | 41,769 | 25,600 | |
Notional Amount | -5,392 | -2,007 | -11,835 | |
Amount Gain/(Loss) Recognized in Income on Derivatives | -420 | 472 | -142 | |
Long [Member] | ||||
Trading Securities | 2,411 | |||
Long [Member] | US Treasury Securities [Member] | ||||
Amount Gain/(Loss) Recognized in Income on Derivatives | 66 | -42 | -1 | |
Trading Securities | 3,927 | 100 | ||
Trading Securities Added During the Period | 18,549 | 27,805 | 2,445 | |
Notional Amount Of Trading Securities Settlement Expiration During The Period | ($20,065) | ($23,878) | ($2,545) |
Pledged_Assets_Narrative_Detai
Pledged Assets (Narrative) (Details) (USD $) | Dec. 31, 2014 |
Pledged Assets [Abstract] | |
Risk Of Repurchase Agreement To Stockholders Equity | 4.00% |
Credit Derivative, Maximum Exposure, Undiscounted | $0.01 |
Pledged_Assets_Assets_Pledged_
Pledged Assets (Assets Pledged as Collateral) (Details) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Millions, unless otherwise specified | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | $51,629 | $62,205 |
Accrued interest on pledged securities | 153 | 195 |
Restricted cash | 713 | 101 |
Total Fair Value Of Agency Securities Pledged And Accrued Interest | 56,215 | 68,360 |
Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 50,858 | 62,708 |
Derivative [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 69 | 28 |
Accrued interest on pledged securities | 1 | |
Restricted cash | 698 | 41 |
Total Fair Value Of Agency Securities Pledged And Accrued Interest | 1,319 | 140 |
Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Accrued interest on pledged securities | 147 | 189 |
Total Fair Value Of Agency Securities Pledged And Accrued Interest | 52,915 | 66,608 |
Variable Interest Entity, Primary Beneficiary [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 1,266 | 1,459 |
Accrued interest on pledged securities | 4 | 5 |
Total Fair Value Of Agency Securities Pledged And Accrued Interest | 1,270 | 1,464 |
Under Prime Broker Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 702 | 91 |
Total Fair Value Of Agency Securities Pledged And Accrued Interest | 711 | 148 |
Includes Sold But Not Yet Settled Securities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 52,895 | 64,286 |
US Treasury Securities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 2,454 | 3,778 |
US Treasury Securities [Member] | Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 1,904 | 3,708 |
US Treasury Securities [Member] | Derivative [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 550 | 70 |
Excluding Cash Received [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Restricted cash | 713 | 101 |
Under Prime Broker Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Restricted cash | 9 | 57 |
Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Restricted cash | $6 | $3 |
Pledged_Assets_Securities_Pled
Pledged Assets (Securities Pledged as Collateral) (Details) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Millions, unless otherwise specified | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | $54,028 | $67,875 |
Agency Securities Pledged As Collateral Amortized Cost | 53,477 | 69,008 |
Agency Securities Pledged As Collateral Accrued Interest | 151 | 194 |
Maturity up to 30 days [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 14,605 | 27,694 |
Agency Securities Pledged As Collateral Amortized Cost | 14,453 | 28,125 |
Agency Securities Pledged As Collateral Accrued Interest | 41 | 76 |
Maturity 31 To 59 Days [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 10,912 | 14,955 |
Agency Securities Pledged As Collateral Amortized Cost | 10,789 | 15,210 |
Agency Securities Pledged As Collateral Accrued Interest | 30 | 42 |
Maturity 60 To 90 Days [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 10,205 | 10,117 |
Agency Securities Pledged As Collateral Amortized Cost | 10,109 | 10,290 |
Agency Securities Pledged As Collateral Accrued Interest | 28 | 28 |
Maturity over 90 days [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 16,402 | 11,401 |
Agency Securities Pledged As Collateral Amortized Cost | 16,227 | 11,623 |
Agency Securities Pledged As Collateral Accrued Interest | 47 | 32 |
Maturity Overnight [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 1,904 | 3,708 |
Agency Securities Pledged As Collateral Amortized Cost | 1,899 | 3,760 |
Agency Securities Pledged As Collateral Accrued Interest | 5 | 16 |
Agency Securities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Security Owned and Pledged as Collateral, Fair Value | 52,124 | 64,167 |
Agency Securities Pledged As Collateral Amortized Cost | 51,578 | 65,248 |
Agency Securities Pledged As Collateral Accrued Interest | $146 | $178 |
Pledged_Assets_Assets_Pledged_1
Pledged Assets (Assets Pledged from Counterparties) (Details) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Millions, unless otherwise specified | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | $51,629 | $62,205 |
Restricted Cash and Cash Equivalents | 713 | 101 |
Obligation to Return Securities Borrowed Under Reverse Repurchase Agreements at Fair Value | 5,363 | 1,848 |
Assets Pledged to Us [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Restricted Cash and Securities Pledged | 5,481 | 2,460 |
Restricted Cash and Cash Equivalents | 28 | 366 |
Derivative [Member] | Assets Pledged to Us [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 43 | 82 |
Restricted Cash and Securities Pledged | 118 | 612 |
US Treasury Securities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 2,454 | 3,778 |
US Treasury Securities [Member] | Assets Pledged to Us [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 5,410 | 2,012 |
Reverse Repurchase Agreements [Member] | Assets Pledged to Us [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 5,363 | 1,848 |
Derivative [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 69 | 28 |
Restricted Cash and Cash Equivalents | 698 | 41 |
Derivative [Member] | US Treasury Securities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 550 | 70 |
Derivative [Member] | US Treasury Securities [Member] | Assets Pledged to Us [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Available-for-sale Securities Pledged as Collateral | 47 | 164 |
Derivative [Member] | Assets Pledged to Us [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Restricted Cash and Cash Equivalents | $28 | $366 |
Pledged_Assets_Offsetting_Asse
Pledged Assets (Offsetting Assets and Liabilities) (Details) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Millions, unless otherwise specified | ||
Offsetting Assets and Liabilities [Line Items] | ||
Collateral Received | ($611) | |
Liability [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 51,176 | 63,933 |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 51,176 | 63,933 |
Financial Instruments | -4,784 | -2,212 |
Collateral Received | -46,388 | -61,721 |
Liability [Member] | Interest Rate Swap [Member] | Swaption [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 880 | 400 |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 880 | 400 |
Financial Instruments | -94 | -331 |
Collateral Received | -782 | -69 |
Net Amount | 4 | |
Assets [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 5,429 | 3,019 |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 5,429 | 3,019 |
Financial Instruments | -4,784 | -2,212 |
Collateral Received | -610 | |
Net Amount | 34 | 197 |
Assets [Member] | Interest Rate Swap [Member] | Swaption [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 211 | 1,138 |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 211 | 1,138 |
Financial Instruments | -94 | -331 |
Collateral Received | -83 | -610 |
Net Amount | 34 | 197 |
Repurchase Agreements [Member] | Liability [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 50,296 | 63,533 |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 50,296 | 63,533 |
Financial Instruments | -4,690 | -1,881 |
Collateral Received | -45,606 | -61,652 |
Reverse Repurchase Agreements [Member] | Assets [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amounts of Recognized Assets | 5,218 | 1,881 |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 5,218 | 1,881 |
Financial Instruments | -4,690 | -1,881 |
Collateral Received | ($528) |
Fair_Value_Measurements_Detail
Fair Value Measurements (Details) (USD $) | 12 Months Ended | |
In Millions, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Financial Instruments, Owned, Mortgages, Mortgage-backed and Asset-backed Securities, at Fair Value | $55,482 | $64,482 |
Variable Interest Entity, Consolidated, Carrying Amount, Assets | 1,266 | 1,459 |
Financial Instruments, Owned, US Government and Agency Obligations, at Fair Value | 2,427 | 3,822 |
Derivative Assets | 408 | 1,194 |
Other Long-term Debt | 761 | 910 |
Obligation to return securities borrowed under reverse repurchase agreements, at fair value | -5,363 | -1,848 |
Derivative Instruments Not Designated as Hedging Instruments, Asset, at Fair Value | 408 | 1,194 |
Marketable Securities, Equity Securities | 68 | 237 |
Derivative Instruments Not Designated as Hedging Instruments, Liability, at Fair Value | -890 | -422 |
Transfers between hierarchy levels | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Obligation to return securities borrowed under reverse repurchase agreements, at fair value | -1,848 | |
Fair Value, Inputs, Level 2 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other Long-term Debt | 910 | |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets, Fair Value Disclosure | 2,495 | 4,098 |
Liabilities, Fair Value Disclosure | 5,368 | 1,848 |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets, Fair Value Disclosure | 57,156 | 67,096 |
Liabilities, Fair Value Disclosure | 1,646 | 1,332 |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | TBA and Forward Settling Agency Securities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative Assets | 17 | |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | Sale Of TBA And Forward Settling Agency Securities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative Assets | 5 | 22 |
Interest Rate Swaption [Member] | Fair Value, Inputs, Level 2 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative Instruments Not Designated as Hedging Instruments, Asset, at Fair Value | 75 | 258 |
Interest Rate Swap [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative Instruments Not Designated as Hedging Instruments, Liability, at Fair Value | -880 | -400 |
Interest Rate Swap [Member] | Fair Value, Inputs, Level 2 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative Instruments Not Designated as Hedging Instruments, Asset, at Fair Value | 136 | 880 |
Interest Rate Swap [Member] | Derivative liabilities, at fair value [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | Interest Rate Swap [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative Instruments Not Designated as Hedging Instruments, Asset, at Fair Value | 880 | 400 |
Purchases Of TBAs And Forward Settling Agency Securities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative Instruments Not Designated as Hedging Instruments, Asset, at Fair Value | 17 | |
Derivative Instruments Not Designated as Hedging Instruments, Liability, at Fair Value | -5 | -22 |
Purchases Of TBAs And Forward Settling Agency Securities [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | TBA and Forward Settling Agency Securities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative Assets | 197 | |
US Treasury Securities [Member] | Future [Member] | Fair Value, Inputs, Level 1 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Derivative Instruments Not Designated as Hedging Instruments, Liability, at Fair Value | ($5) | ($39) |
Management_Agreement_and_Relat1
Management Agreement and Related Party Transactions (Details) (USD $) | 3 Months Ended | 12 Months Ended | |||||||||
In Millions, unless otherwise specified | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 |
Related Party Transactions [Abstract] | |||||||||||
Management fees | $30 | $30 | $30 | $29 | $31 | $35 | $37 | $33 | $119 | $136 | $113 |
Related Party Transaction, Expenses from Transactions with Related Party | 8 | 10 | 9 | ||||||||
Accounts Payable, Related Parties, Current | $10 | $13 | $10 | $13 |
Income_Taxes_Details
Income Taxes (Details) (USD $) | 3 Months Ended | 12 Months Ended | 3 Months Ended | ||
In Millions, except Per Share data, unless otherwise specified | Dec. 31, 2012 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2014 |
Investments, Owned, Federal Income Tax Note [Line Items] | |||||
Required Annual Distribution of Taxable Net Income | 90.00% | ||||
Preferred Stock, Dividend Rate, Per-Dollar-Amount | $0.50 | $2 | $2 | $1.06 | |
Dividends, Preferred Stock | $14 | $14 | $7 | ||
Common Stock, Dividends, Per Share, Cash Paid | $2.61 | $3.75 | $5 | ||
Dividends, Common Stock | 921 | 1,453 | 1,518 | ||
Ordinary Income Distribution % | 85.00% | 85.00% | |||
Capital Gain Distribution % | 95.00% | 95.00% | |||
Excise Tax Rate | 4.00% | 4.00% | |||
Qualified Dividends Per Share [Member] | |||||
Investments, Owned, Federal Income Tax Note [Line Items] | |||||
Preferred Stock, Dividend Rate, Per-Dollar-Amount | $0.02 | ||||
Common Stock, Dividends, Per Share, Cash Paid | $0.03 | ||||
Ordinary Income Per Share [Member] | |||||
Investments, Owned, Federal Income Tax Note [Line Items] | |||||
Preferred Stock, Dividend Rate, Per-Dollar-Amount | $2 | $2 | $0.95 | ||
Common Stock, Dividends, Per Share, Cash Paid | $2.61 | $3.75 | $4.51 | ||
Long term Capital Gain [Member] | |||||
Investments, Owned, Federal Income Tax Note [Line Items] | |||||
Preferred Stock, Dividend Rate, Per-Dollar-Amount | $0.10 | ||||
Common Stock, Dividends, Per Share, Cash Paid | $0.49 | ||||
Preferred Class B [Member] | |||||
Investments, Owned, Federal Income Tax Note [Line Items] | |||||
Preferred Stock, Dividend Rate, Per-Dollar-Amount | $0.84 | $0.48 | |||
Dividends, Preferred Stock | $6 |
Income_Taxes_Narrative_Details
Income Taxes Narrative (Details) (USD $) | 12 Months Ended | ||
In Millions, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 |
Income Tax Disclosure [Abstract] | |||
Excise and Sales Taxes | $3 | $25 | |
Income Tax Expense (Benefit) | $10 | ($6) | |
Effective Income Tax Rate Reconciliation, at Federal Statutory Income Tax Rate, Percent | 39.50% |
Stockholders_Equity_Preferred_
Stockholders' Equity (Preferred Stock) (Details) (USD $) | 12 Months Ended | 3 Months Ended | |||||||
In Millions, except Share data, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 | Jun. 30, 2012 | Mar. 31, 2013 | Jul. 31, 2012 | Mar. 31, 2012 | Apr. 30, 2012 | 5-May-14 |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||
Preferred Stock, Shares Authorized | 10,000,000 | 10,000,000 | |||||||
Preferred Stock Authorized, but not Issued | 3,100,000 | ||||||||
Issuance of preferred stock | $169 | $0 | $167 | ||||||
Preferred Stock, Shares Issued | 6,900,000 | 6,900,000 | |||||||
Share Price | $31.34 | $33.70 | $29 | ||||||
Preferred Stock, Value, Issued | 336 | 167 | |||||||
Preferred Class A [Member] | |||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||
Preferred Stock, Capital Shares Reserved for Future Issuance | 6,900,000 | ||||||||
Sale of Stock, Price Per Share | $24.21 | ||||||||
Series A Preferred Stock [Member] | |||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||
Preferred Stock, Dividend Rate, Percentage | 8.00% | ||||||||
Issuance of preferred stock | 167 | ||||||||
Preferred Stock, Liquidation Preference Per Share | $25 | ||||||||
Preferred Class B [Member] | |||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||
Preferred Stock, Capital Shares Reserved for Future Issuance | 8,050 | ||||||||
Preferred Stock, Dividend Rate, Percentage | 7.75% | ||||||||
Preferred Stock, Shares Issued | 7,000,000 | ||||||||
Share Price | $24.21 | ||||||||
Preferred Stock, Value, Issued | $169 | ||||||||
Series B Preferred Stock [Member] | |||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||
Preferred Stock, Liquidation Preference Per Share | $25 |
Stockholders_Equity_Common_Sto
Stockholders' Equity (Common Stock Repurchase Program) (Details) (USD $) | 12 Months Ended | 3 Months Ended | |||
In Millions, except Per Share data, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 | Jun. 30, 2013 | Mar. 31, 2014 |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||
Stock Repurchase Program, Authorized Amount | $1,000 | $500 | $1,000 | ||
Treasury Stock Acquired, Average Cost Per Share | $22.10 | $21.25 | $29 | ||
Repurchase of common stock | -74 | -856 | -77 | ||
Stock Repurchase Program, Remaining Authorized Repurchase Amount | $992 | ||||
Common Stock [Member] | |||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||
Repurchase of common stock shares | -3.4 | -40.2 | -2.7 | -40.3 |
Stockholders_Equity_FollowOn_E
Stockholders' Equity (Follow-On Equity Offerings) (Details) (USD $) | 1 Months Ended | 3 Months Ended | 12 Months Ended | 9 Months Ended | |||
In Millions, except Per Share data, unless otherwise specified | Jul. 31, 2012 | Mar. 31, 2012 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 | Sep. 30, 2012 | Mar. 31, 2013 |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Share Price | $33.70 | $29 | $31.34 | ||||
Common Stock, Shares, Issued | 36.8 | 71.2 | 352.8 | 356.2 | 57.5 | ||
Proceeds from Issuance of Common Stock | $1,240 | $0 | $1,803 | $3,601 | |||
Issuance of common stock, value | 2,063 | 1,803 | 3,601 | ||||
Common Stock [Member] | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Common Stock, Shares, Issued | 108 | ||||||
Proceeds from Issuance of Common Stock | 3,303 | ||||||
Issuance of common stock, value | $1 | $1 |
Stockholders_Equity_AttheMarke
Stockholders' Equity (At-the-Market Offering Program) (Details) (USD $) | 1 Months Ended | 12 Months Ended | ||||
In Millions, except Per Share data, unless otherwise specified | Jul. 31, 2012 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 | Mar. 31, 2013 | Mar. 31, 2012 |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Share Price | $33.70 | $31.34 | $29 | |||
Common Stock, Shares, Issued | 36.8 | 352.8 | 356.2 | 57.5 | 71.2 | |
Proceeds from Issuance of Common Stock | $1,240 | $0 | $1,803 | $3,601 | ||
At-the-Market Offering Program [Member] | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Share Price | $31.41 | |||||
Common Stock, Shares, Issued | 9.5 | |||||
Proceeds from Issuance of Common Stock | $298 | |||||
At the Market Offering Program [Member] | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Common Stock, Capital Shares Reserved for Future Issuance | 16.7 |
Stockholders_Equity_Dividend_R
Stockholders' Equity (Dividend Reinvestment and Direct Stock Purchase Plan) (Details) (Dividend Reinvestment And Direct Stock Purchase Plan [Member]) | Dec. 31, 2014 |
In Millions, unless otherwise specified | |
Dividend Reinvestment And Direct Stock Purchase Plan [Member] | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Common Stock, Capital Shares Reserved for Future Issuance | 21.7 |
Stockholders_Equity_Accumulate
Stockholders' Equity (Accumulated Other Comprehensive Income (Loss)) (Details) (USD $) | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||||||||||
In Millions, unless otherwise specified | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Sep. 30, 2013 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||||||
Total Accumulated OCI Balance | $430 | ($1,383) | ($1,383) | ($1,383) | $430 | ($1,383) | $1,555 | $311 | |||||
OCI before reclassifications | 599 | -253 | 790 | 521 | -311 | 833 | -2,813 | -837 | 1,657 | -3,127 | 1,039 | ||
Amounts reclassified from accumulated OCI | 35 | 38 | 40 | 43 | 46 | 47 | 48 | 49 | 156 | 189 | 205 | ||
Amounts reclassified from accumulated OCI | -156 | -189 | -205 | ||||||||||
Total Accumulated OCI Balance | 1,597 | 105 | -991 | ||||||||||
Agency Securities [Member] | |||||||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||||||
Beginning OCI Balance | -1,087 | 2,040 | 2,040 | -1,087 | 2,040 | 1,001 | |||||||
OCI before reclassifications | 1,708 | -4,535 | 2,235 | ||||||||||
Amounts reclassified from accumulated OCI | -51 | 1,408 | -1,196 | ||||||||||
Ending OCI Balance | 570 | -1,087 | -1,087 | -1,087 | 570 | -1,087 | 2,040 | ||||||
Discontinuation of Election to Account for Interest Rate Swaps as Designated Cash Flow Hedges [Member] | |||||||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||||||
Net Unrealized Gain (Loss) on Swaps | 140 | -296 | 296 | 296 | 140 | -296 | -485 | -690 | |||||
Interest Rate Swap [Member] | Agency Securities [Member] | |||||||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||||||
OCI before reclassifications | ($4,535) | $1,708 | $2,235 |
Stockholders_Equity_Longterm_I
Stockholders' Equity (Long-term Incentive Plan) (Details) (USD $) | 12 Months Ended | ||
Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Restricted Stock or Unit Expense | $375,000 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number | 14,000 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Weighted Average Grant Date Fair Value | $31.20 | $29.48 | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Vested in Period | 13,000 | 9,500 | 7,000 |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Vested in Period, Fair Value | 286,000 | 290,000 | 222,000 |
Share-based Compensation | 540,000 | 383,000 | 282,000 |
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized | 317,000 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Number of Shares Available for Grant | 29,000 | ||
Restricted Stock Units (RSUs) [Member] | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number | 18,060 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Intrinsic Value, Amount Per Share | $22.36 | ||
Director [Member] | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Restricted Stock or Unit Expense | $75,000 | ||
Each Director [Member] | Restricted Stock Units (RSUs) [Member] | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number | 3,612 | ||
Each Director [Member] | Restricted Stock [Member] | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period | 3,000 | 3,000 | |
Director [Member] | Restricted Stock [Member] | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period | 15,000 | 12,000 |
Quarterly_Results_Details
Quarterly Results (Details) (USD $) | 3 Months Ended | 12 Months Ended | |||||||||
In Millions, except Per Share data, unless otherwise specified | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 |
Interest income | $331 | $357 | $385 | $399 | $542 | $558 | $545 | $547 | $1,472 | $2,193 | $2,109 |
Interest expense | 81 | 88 | 95 | 108 | 120 | 145 | 131 | 140 | 372 | 536 | 512 |
Net interest income | 250 | 269 | 290 | 291 | 422 | 413 | 414 | 407 | 1,100 | 1,657 | 1,597 |
Gain on sale of agency securities, net | 34 | 14 | 22 | -19 | -667 | -733 | 17 | -26 | 51 | -1,408 | 1,196 |
(Loss) gain on derivative instruments and other securities, net | -572 | -51 | -244 | -378 | 184 | -339 | 1,444 | -98 | -1,243 | 1,191 | -1,353 |
Total other (loss) income, net | -538 | -37 | -222 | -397 | -483 | -1,072 | 1,461 | -124 | -1,192 | -217 | -157 |
Management fees | 30 | 30 | 30 | 29 | 31 | 35 | 37 | 33 | 119 | 136 | 113 |
General and administrative expenses | 5 | 5 | 6 | 6 | 6 | 7 | 9 | 9 | 22 | 32 | 31 |
Total expenses | 35 | 35 | 36 | 35 | 37 | 42 | 46 | 42 | 141 | 168 | 144 |
Income (loss) before income tax | -98 | -701 | 1,829 | 241 | -233 | 1,272 | 1,296 | ||||
Provision for income tax, net | 3 | 0 | 0 | 10 | 0 | 13 | 19 | ||||
Net income (loss) | -323 | 197 | 32 | -141 | -101 | -701 | 1,829 | 231 | -233 | 1,259 | 1,277 |
Dividend on preferred stock | 7 | 7 | 5 | 3 | 3 | 3 | 3 | 3 | 23 | 14 | 10 |
Net income (loss) available (attributable) to common shareholders | -330 | 190 | 27 | -144 | -104 | -704 | 1,826 | 228 | -256 | 1,245 | 1,267 |
Unrealized Gains and (Losses), Net | 599 | -253 | 790 | 521 | -311 | 833 | -2,813 | -837 | 1,657 | -3,127 | 1,039 |
Unrealized gain on derivative instruments, net | 35 | 38 | 40 | 43 | 46 | 47 | 48 | 49 | 156 | 189 | 205 |
Other comprehensive (loss) income | 634 | -215 | 830 | 564 | -265 | 880 | -2,765 | -788 | 1,813 | -2,938 | 1,244 |
Comprehensive (loss) income | 311 | -18 | 862 | 423 | -366 | 179 | -936 | -557 | 1,580 | -1,679 | 2,521 |
Comprehensive (loss) income (attributable) available to common shareholders | $304 | ($25) | $857 | $420 | ($369) | $176 | ($939) | ($560) | $1,557 | ($1,693) | $2,511 |
Weighted average number of common shares outstanding-basic and diluted | 352.8 | 352.8 | 352.8 | 354.8 | 373 | 390.6 | 396.4 | 356.2 | 353.3 | 379.1 | 303.9 |
Net income (loss) per common share - basic and diluted | ($0.94) | $0.54 | $0.08 | ($0.41) | ($0.28) | ($1.80) | $4.61 | $0.64 | ($0.72) | $3.28 | $4.17 |
Comprehensive (loss) income per common share - basic and diluted | $0.86 | ($0.07) | $2.43 | $1.18 | ($0.99) | $0.45 | ($2.37) | ($1.57) | $4.41 | ($4.47) | $8.26 |
Dividends declared per common share | $0.66 | $0.65 | $0.65 | $0.65 | $0.65 | $0.80 | $1.05 | $1.25 |
Subsequent_Event_Details
Subsequent Event (Details) (USD $) | 3 Months Ended | 12 Months Ended | 1 Months Ended | |||
Dec. 31, 2012 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 | Feb. 28, 2015 | Jan. 31, 2015 | |
Subsequent Event [Line Items] | ||||||
Preferred Stock, Dividend Rate, Per-Dollar-Amount | $0.50 | $2 | $2 | $1.06 | ||
Subsequent Event [Member] | ||||||
Subsequent Event [Line Items] | ||||||
Preferred Stock, Dividend Rate, Per-Dollar-Amount | $0.22 | $0.22 |